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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=(EST(P))2+j2(EST(P,j)(LHjLHj1)T))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