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Squared ES (Liquidity Adj.)
| Description |
The expression under the root of the liquidity adjusted expected shortfall formula |
| Reference |
[MAR33.4] |
| Formula |
$$ES^2 = \left ( ES_T(P) \right )^2 + \sum_{j\geq 2} \left ( ES_T(P,j)\sqrt{\frac{(LH_j-LH_{j-1})}{T}}) \right )^2$$ |
See also
FRTB Accelerator Cubes Guide