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Omega
Description |
The IMCC multiplier reflecting weighted average of 1 and the ratio of undiversified IMCC(C) to diversified IMCC(C) (BCBS 395: 2.1 Q1) |
Notation |
ω |
Formula |
ω=ρ+(1−ρ)∑Ri=1IMCC(Ci)IMCC(C) |
With ω IMCC formula can be rewritten as:
IMCC=ω⋅IMCC(C)
See also