FRTB Accelerator Cube GuideSES
| Description | The stressed expected shortfall |
|---|---|
| Variations |
|
| Reference | [MAR33.17] |
| Notation | SES |
| Formula | SES=√I∑i=1ISES2NM,i+√J∑j=1ISES2NM,j+√(ρ⋅K∑k=1SESNM,k)2+(1−ρ2)⋅K∑k=1SES2NM,k |
Here’s how the measure is implemented:
- for L_type non-modellable risk factors (non-modellable idiosyncratic credit risk factors) - it computes squares for each risk factor’s stress scenario capital charges (see ES (ISES)) and takes a square root,
- for K_type non-modellable risk factors it computes ES measure for each risk factor and sums them up (see ES (SES)).
We recommend using [Risk].[Idiosyncratic] hierarchy to break down the charge into idiosyncratic component and non-idiosyncratic.