ES (Capital Unconstrained)

ima
Description The unconstrained expected shortfall charge
Reference [MAR33.15]
Notation $IMCC(C)$
Formula $$IMCC(C)=ES_{R,S} \cdot \frac{ES_{R,C} }{ES_{R,C} }$$

This measure represents liquidity adjusted and scaled to stress period expected shortfall across risk classes, also referred to as “unconstrained”.

See also

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