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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 |
|
| Reference |
[MAR33.15] |
| Notation |
$IMCC$ |
| Formula |
$$IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )$$ |
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