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