Navigation : Getting started - About - CRR2 support - Glossary Tutorials - Data Health Check - Tips for Validating the Calculations - Viewing QIS Numbers - Workaround for deadlock issue when attempting to create partitions for reference stores Cube reference - Measures -- StandardisedApproach - Dimensions 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.) ES (Model Variation) ES (Model Variation) Lookback ES (Model Variation) avg LH PnL Expand Squared LHScaleFactor Getting started
FRTB Accelerator Reference Guide v3.0.0