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- FRTB Data Model
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- Data Health Check
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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- Workaround for deadlock issue when attempting to create partitions for reference stores
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Measures
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Measure variations
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StandardisedApproach
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StressCalibration
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Dimensions
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What-If Analysis
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Configuring Accelerator tools and methodologies
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FRTB Accelerator Interpretation and Implementation of BCBS 457
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PDF Guides
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Glossary
ES (Liquidity Adj.)
Description
Generic regulatory liquidity-adjusted ES measure
Hierarchies required in the view
Reference
[MAR33.4]
Formula
$$ES = \sqrt{\left ( ES_T(P) \right )^2 + \sum_{j\geq 2} \left ( ES_T(P,j)\sqrt{\frac{(LH_j-LH_{j-1})}{T}}) \right )^2}$$
This measure applies liquidity horizons adjustment to the ES (Basic) measure.
This measure needs to be combined with [Risk].[Risk Classes] and [Risk].[Data Sets] to produce a business interpretable result.
See also