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IMCC Indicator

ima
Description Indicator is 1 when sliding window is equal to the max IMCC across all windows and 0 otherwise.
Variations
Reference [MAR33.15]
Notation IMCC
Formula IMCC=ρ(IMCC(C))+(1ρ)(Ri=1IMCC(Ci))

The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained).

When the [Risk].[Sliding Window] hierarchy is not present, a vector of indicators is returned, which you can expand on [Risk].[Sliding Window].

See also