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ES (Model Variation)
| Description |
For each risk class and allin risk class, this is the ratio of the liquidity adjusted ES for reduced current set and ES for full current set |
| Hierarchy(ies) required in the view |
|
| Reference |
[MAR33.5] |
| Formula |
$$\frac{ES_{R,C}}{ES_{F,C}}$$ |
See also