Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-health-check.html
- Data Health Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../ test what-if.html
What-If Analysis
test ../ test configuration.html
Configuration files
test ../ test cube.html
Data Cubes
test ../ test cube/measures.html
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Measures
test ../ test cube/measures/measure-variations.html
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Measure variations
test ../ test cube/measures/standardisedapproach.html
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StandardisedApproach
test ../ test cube/dimensions.html
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Dimensions
test ../ test datastore.html
Data Stores
test ../ test input-files.html
Input File Formats
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
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Release and migration notes
test ../ test dev/dev-getting-started.html
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Getting Started
test ../ test dev/dev-ref-impl.html
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FRTB Reference Implementation
test ../ test dev/dev-core.html
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FRTB Core
test ../ test dev/dev-extensions.html
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Extending the Accelerator
test ../ test dev/dev-tools.html
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Configuring Accelerator tools and methodologies
test ../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
ES (Capital)
Description
For each risk class and allin risk class, this is expected shortfall charge
Hierarchy(ies) required in the view
Reference
[MAR33.4]
Formula
$$ES = ES_{R,S} \cdot \frac{ES_{F,C}}{ES_{R,C}}$$
The measure takes the result of ES (Liquidity Adj.) measure filtered by the [Risk].[Data Sets] equal to ‘Reduced Set Stressed’ and scales it by the ratio of the ES (Liquidity Adj.) for [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’.
By the way, the ratio of the ES (Liquidity Adj.) for the [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’ can be displayed using ES (Current Ratio) .
See also