FRTB Accelerator Cubes GuideSES
| 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:
- for I_type non-modellable risk factors and J_type (non-modellable idiosyncratic credit risk factors and non-modellable idiosyncratic credit risk factors) - it aggregates the squared stress scenario capital charges by risk factor (see ES (ISES)), then takes a square root,
- for K_type non-modellable risk factors it computes ES measure for each risk factor and (see ES (SES)) and aggregates them with the prescribed correlation factor.
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.