Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test configuration.html
Configuration files
test ../ test datastore.html
Data Stores
test ../ test database.html
Database
test ../ test input-files.html
Input Data
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../ test cube.html
Analytics Reference
test ../ test cube/measures.html
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Measures
test ../ test cube/measures/measure-variations.html
--
Measure variations
test ../ test cube/measures/standardisedapproach.html
--
StandardisedApproach
test ../ test cube/measures/stresscalibration.html
--
StressCalibration
test ../ test cube/es-basic-stress.html
--- ES (Basic)
test ../ test cube/es-capital-constrained-stress.html
--- ES (Capital Constrained)
test ../ test cube/es-capital-unconstrained-stress.html
--- ES (Capital Unconstrained)
test ../ test cube/es-capital-stress.html
--- ES (Capital)
test ../ test cube/es-current-ratio-stress.html
--- ES (Current Ratio)
test ../ test cube/es-ises-stress.html
--- ES (ISES)
test ../ test cube/es-liquidity-adj-stress.html
--- ES (Liquidity Adj.)
test ../ test cube/es-model-variation-stress.html
--- ES (Model Variation)
test ../ test cube/es-pnl-vector.html
--- ES (PnL Vector)
test ../ test cube/es-pnl-vector-ccy.html
--- ES (PnL Vector) CCY
test ../ test cube/es-pnl-vector-expand.html
--- ES (PnL Vector) Expand
test ../ test cube/es-pnl-vector-non-modellable-idiosyncratic.html
--- ES (PnL Vector) Non-Modellable Idiosyncratic
test ../ test cube/es-pnl-vector-non-modellable-non-idiosyncratic.html
--- ES (PnL Vector) Non-Modellable Non-Idiosyncratic
test ../ test cube/es-pnl-vector-raw.html
--- ES (PnL Vector) RAW
test ../ test cube/es-ses-stress.html
--- ES (SES)
test ../ test cube/imcc-stress.html
--- IMCC
test ../ test cube/imcc-indicator.html
--- IMCC Indicator
test ../ test cube/lh.html
--- LH
test ../ test cube/omega-stress.html
--- Omega
test ../ test cube/previous-lh.html
--- Previous LH
test ../ test cube/ses-stress.html
--- SES
test ../ test cube/ses-max.html
--- SES max
test ../ test cube/squared-es-liquidity-adj-stress.html
--- Squared ES (Liquidity Adj.)
test ../ test cube/squared-lhscalefactor-stress.html
--- Squared LHScaleFactor
test ../ test cube/dimensions.html
-
Dimensions
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
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Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
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Extending the Solution
test ../ test dev/dev-tools.html
-
Configuring Solution tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test dev/dev-direct-query.html
-
DirectQuery
test ../ test limits.html
Limit monitoring
test ../ test sign-off.html
Sign-Off Approvals
test ../ test what-if.html
What-If Analysis
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
SES
Description
The stressed expected shortfall, for each risk-class and each 1-year period.
Variations
Hierarchies required in the view
Reference
[MAR33.17]
Notation
$SES$
Formula
$$SES = \sqrt{\sum_{i=1}^{I}ISES_{NM,i}^2}+\sqrt{\sum_{j=1}^{J}ISES_{NM,j}^2}+\sqrt{\left ( \rho \cdot \sum_{k=1}^{K}SES_{NM,k} \right )^2 + (1-\rho^2) \cdot \sum_{k=1}^{K}SES_{NM,k}^2}$$
Here’s how the measure is implemented:
For I_type non-modellable risk factors and J_type (non-modellable idiosyncratic credit risk factors and non-modellable idiosyncratic credit risk factors) - it aggregates the squared stress scenario capital charges by risk factor (see ES (ISES) ), then takes a square root.
For K_type non-modellable risk factors, it computes the ES measure for each risk factor (see ES (SES) ) and aggregates them with the prescribed correlation factor.
We recommend using the [Risk].[Idiosyncratic] hierarchy to break down the charge into idiosyncratic and non-idiosyncratic components and the [Risk].[Risk Classes] hierarchy to display the risk factor’s risk class.
note
The SES measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under IMA. We recommend applying a filter on [Booking].[FRTB Model] equal to “IMA” to limit the scope to positions officially under the “IMA” approach.
See also