Incremental

Naming pattern: Measures with “Incremental” behavior follow the name pattern:Main Measure Name Incremental.

The Incremental measures evaluate the impact of a trade or a group of trades (‘current scope’) on the result at a selected ReferenceLevel, by comparing it with a computation as if the considered trade or aggregate of trades were hypothetically removed.

 

Example

In the following example, the IMCC measure is showing the impact of individual desks on the firm-level IMCC number.

Incremental IMCC example

  • In this example, the ReferenceLevel is set to Enterprise.

  • IMCC for desk “Bonds” is -17 mio, which means, that this portfolio is reducing firm-level IMCC by 17 mio.

To validate the incremental measure for desk “Bonds”, let’s compute firm-level IMCC with a filter excluding the desk:

Incremental IMCC - validation

From the screenshot above, we can see that IMCC is approximately 17 mio higher (109.7 - 92.6) if the“Bonds” desk positions were closed-out.

Follow this link to see the measures with the described behavior: Incremental Measures.