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ES (Capital Constrained)
| Description |
The non-diversifiable risk class ES charges (also known as constrained expected shortfall charge) |
| Reference |
[MAR33.15] |
| Notation |
$ \sum_{i=1}^{R}{IMCC(C_i)} \text{ where } IMCC(C_i)=ES_{R,S,i} \cdot \frac{ES_{R,C,i} }{ES_{R,C,i} }$ |
The measure takes the results of the ES (Capital) calculation for the individual Risk Classes (not ‘allin’) and then sums them up.
See also