SES

ima

Description The stressed expected shortfall, as if all positions were under IMA
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:

We recommend using [Risk].[Idiosyncratic] hierarchy to break down the charge into idiosyncratic component and non-idiosyncratic and [Risk].[Risk Classes] hierarchy to display risk factor’s risk class.

Please note, that the measure SES disregards the actual capital treatment of individual positions and compute charges as if all positions are under IMA. We recommend applying a filter on [Booking].[FRTB Model] equal to “IMA” to limit the scope to positions officially under the “IMA” approach.

See also

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