Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach --- ES ---- CA ---- 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) ---- ES Scenario Rank ---- IMCC ---- IMCC.D2D ---- Omega ---- PnL Expand ---- SES ---- Squared ES (Liquidity Adj.) ---- Squared LHScaleFactor --- Technical -- PL -- PLSummary -- StandardisedApproach - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 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 (Basic) ES (Basic).D2D ES (Capital Constrained) ES (Capital Unconstrained) ES (Capital) ES (Current Ratio) ES (Liquidity Adj.) LH PnL Expand Squared LHScaleFactor SES Squared LHScaleFactor
FRTB Accelerator Cubes Guide