IMCC

ima
Description The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors across all sliding windows
Variations
Reference [MAR33.15]
Notation IMCC
Formula IMCC=ρ(IMCC(C))+(1ρ)(i=1RIMCC(Ci))

The measure is based on the unconstrained expected shortfall charges - ES (Capital Constrained) and Omega.

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

See also