Omega

ima
Description The IMCC multiplier reflecting weighted average of 1 and the ratio of undiversified IMCC(C) to diversified IMCC(C) (BCBS 395: 2.1 Q1). May be computed on a different date
Notation ω
Formula ω=ρ+(1ρ)Ri=1IMCC(Ci)IMCC(C)

The reference date is set with the hierarchy [Dates].[OmegaDate].[OmegaDate].

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

With ω IMCC formula can be rewritten as:

IMCC=ωIMCC(C)

See also