FRTB Accelerator Cube GuideSES
| Description | The stressed expected shortfall |
|---|---|
| Variations |
|
| Reference | [MAR33.17] |
| Notation | $SES$ |
| Formula | $$SES = \sqrt{\sum_{i=1}^{I}ISES_{NM,i}^2}+\sqrt{\sum_{j=1}^{J}ISES_{NM,j}^2}+\sqrt{\left ( \rho \cdot \sum_{k=1}^{K}SES_{NM,k} \right )^2 + (1-\rho^2) \cdot \sum_{k=1}^{K}SES_{NM,k}^2}$$ |
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.