FRTB Accelerator Reference Guide v2.4.0ES (Capital)
| Description | For each risk class and allin risk class, this is expected shortfall charge |
|---|---|
| Hierarchy(ies) required in the view | |
| Reference | [MAR33.4] |
| Formula | $$ES = ES_{R,S} \cdot \frac{ES_{F,C}}{ES_{R,C}}$$ |
The measure takes the result of ES (Liquidity Adj.) measure filtered by the [Risk].[Data Sets] equal to ‘Reduced Set Stressed’ and scales it by the ratio of the ES (Liquidity Adj.) for [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’.
By the way, the ratio of the ES (Liquidity Adj.) for the [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’ can be displayed using ES (Current Ratio).
See also
- ES (Basic)
- ES (Basic).D2D
- ES (Capital Constrained)
- ES (Capital Unconstrained)
- ES (Current Ratio)
- ES (Liquidity Adj.)
- ES (Model Variation)
- ES (Model Variation) Lookback
- ES (Model Variation) avg
- LH
- PnL Expand
- Squared ES (Liquidity Adj.)
- Squared LHScaleFactor