Navigation : Cube - Measures -- ACC -- IMADRC -- IMASummary -- InternalModelApproach --- Count --- ES ---- ES (Basic Non-Modellable Idiosyncratic) ---- ES (Basic Non-Modellable Non-Idiosyncratic) ---- ES (Basic) ---- ES (Basic).D2D ---- ES (Capital Constrained) ---- ES (Capital Unconstrained) ---- ES (Capital) ---- ES (Current Ratio) ---- ES (ISES) ---- ES (Liquidity Adj.) ---- ES (SES) ---- IMCC ---- IMCC.D2D ---- Omega ---- PnL Expand ---- SES ---- Squared ES (Liquidity Adj.) ---- Squared LHScaleFactor --- Technical -- Native_measures -- PL -- PLSummary -- StandardisedApproach - Context values Squared ES (Liquidity Adj.) ima Description The expression under the root of the liquidity adjusted expected shortfall formula Reference [MAR33.4] Formula ES2=(EST(P))2+∑j≥2(EST(P,j)√(LHj−LHj−1)T))2 See also ES (Liquidity Adj.) PnL Expand Squared LHScaleFactor Reference ES (Basic).D2D ES Squared LHScaleFactor LH ES (Current Ratio) ES (Capital) ES (Capital Unconstrained) ES (Basic) ES (Capital Constrained) SES Squared LHScaleFactor
FRTB Accelerator Cube Guide