Navigation :
ES (Current Ratio)
| Description |
For each risk class and allin risk class, this is the ratio of the liquidity adjusted ES for full current set and ES for reduced current set |
| Hierarchy(ies) required in the view: |
|
| Reference |
[MAR33.4] |
| Formula |
$$\frac{ES_{F,C}}{ES_{R,C}}$$ |
See also
FRTB Accelerator Cubes Guide