FRTB Accelerator Reference Guide v2.4.0ES (Liquidity Adj.)
| Description | Generic regulatory liquidity adjusted ES measure |
|---|---|
| Hierarchy(ies) required in the view | |
| Reference | [MAR33.4] |
| Formula | $$ES = \sqrt{\left ( ES_T(P) \right )^2 + \sum_{j\geq 2} \left ( ES_T(P,j)\sqrt{\frac{(LH_j-LH_{j-1})}{T}}) \right )^2}$$ |
This measure applies liquidity horizons adjustment to the ES (Basic) measure. This measure needs to be combined with [Risk].[Risk Classes] and [Risk].[Data Sets] to produce a business interpretable result.
See also
- ES (Basic)
- ES (Basic).D2D
- ES (Capital Constrained)
- ES (Capital Unconstrained)
- ES (Capital)
- ES (Current Ratio)
- ES (Model Variation)
- ES (Model Variation) Lookback
- ES (Model Variation) avg
- LH
- PnL Expand
- Squared ES (Liquidity Adj.)
- Squared LHScaleFactor