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ES (Liquidity Adj.)

ima
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