FRTB Accelerator Reference Guide v3.0.0IMCC
| Description | The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors |
|---|---|
| Variations | |
| Reference | [MAR33.15] |
| Notation | $IMCC$ |
| Formula | $$IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )$$ |
The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained).