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 configuration.html
Configuration files
test ./ test limits.html
Limit monitoring
test ./ test sign-off.html
Sign-Off Approvals
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
--
StandardisedApproach
test ./ test cube/measures/stresscalibration.html
--
StressCalibration
test ./ test cube/es-basic-stress.html
--- ES (Basic)
test ./ test cube/es-capital-constrained-stress.html
--- ES (Capital Constrained)
test ./ test cube/es-capital-unconstrained-stress.html
--- ES (Capital Unconstrained)
test ./ test cube/es-capital-stress.html
--- ES (Capital)
test ./ test cube/es-current-ratio-stress.html
--- ES (Current Ratio)
test ./ test cube/es-ises-stress.html
--- ES (ISES)
test ./ test cube%5Ces-liquidity-adj-stress.html
--- ES (Liquidity Adj.)
test ./ test cube/es-model-variation-stress.html
--- ES (Model Variation)
test ./ test cube/es-pnl-vector.html
--- ES (PnL Vector)
test ./ test cube/es-pnl-vector-ccy.html
--- ES (PnL Vector) CCY
test ./ test cube/es-pnl-vector-expand.html
--- ES (PnL Vector) Expand
test ./ test cube/es-pnl-vector-non-modellable-idiosyncratic.html
--- ES (PnL Vector) Non-Modellable Idiosyncratic
test ./ test cube/es-pnl-vector-non-modellable-non-idiosyncratic.html
--- ES (PnL Vector) Non-Modellable Non-Idiosyncratic
test ./ test cube/es-pnl-vector-raw.html
--- ES (PnL Vector) RAW
test ./ test cube/es-ses-stress.html
--- ES (SES)
test ./ test cube%5Cimcc-stress.html
--- IMCC
test ./ test cube/imcc-indicator.html
--- IMCC Indicator
test ./ test cube/lh.html
--- LH
test ./ test cube%5Comega-stress.html
--- Omega
test ./ test cube/previous-lh.html
--- Previous LH
test ./ test cube/ses-stress.html
--- SES
test ./ test cube/ses-max.html
--- SES max
test ./ test cube/squared-es-liquidity-adj-stress.html
--- Squared ES (Liquidity Adj.)
test ./ test cube/squared-lhscalefactor-stress.html
--- Squared LHScaleFactor
test ./ test cube/dimensions.html
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Dimensions
test ./ test what-if.html
What-If Analysis
test ./ test datastore.html
Data Stores
test ./ test input-files.html
Input Files
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 dev/dev-sign-off.html
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Sign-Off
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
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) for each sliding window
Notation
$\omega$
Formula
$$\omega=\rho +(1-\rho) \frac{ \sum_{i=1}^R IMCC(C_i) }{ IMCC(C)}$$
The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained) .
With $\omega$, the IMCC formula can be rewritten as:
$$ IMCC = \omega \cdot IMCC( C ) $$
When the [Risk].[Sliding Window] hierarchy is not present, a vector of Omega values is returned which you can expand on [Risk].[Sliding Window] .
See also