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ES (Capital)

ima
Description For each risk class and allin risk class, this is the expected shortfall charge across all sliding windows
Hierarchies required in the view
Reference [MAR33.4]
Formula $$ES = ES_{R,S} \cdot \frac{ES_{F,C}}{ES_{R,C}}$$

The measure takes the result of the ES (Liquidity Adj.) measure filtered by [Risk].[Data Sets] equal to ‘Reduced Set Stressed’ and scales it by the ratio of the ES (Liquidity Adj.) measure for [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’.

The ratio of the ES (Liquidity Adj.) for the [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’ can be displayed using ES (Current Ratio).

When the [Risk].[Sliding Window] hierarchy is not present, a vector is returned, which you can expand by bringing [Risk].[Sliding Window] into your query.

See also