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test ../ test getting-started.html
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test ../ test tutorials/tips-for-validating-the-calculations.html
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Measure variations
test ../ test cube/measures/standardisedapproach.html
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StandardisedApproach
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StressCalibration
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Glossary
Omega
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
$\omega$
Formula
$$\omega=\rho +(1-\rho) \frac{ \sum_{i=1}^R IMCC(C_i) }{ IMCC(C)}$$
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 $\omega$ IMCC formula can be rewritten as:
$$ IMCC = \omega \cdot IMCC( C ) $$
See also