SES calculations

The following measures walk through the SES calculation and can be found in the bookmark: Basel Framework → IMA → NMRF.

The SES calculations begin with the “Capital requirements for each non-modellable risk-factor” from MAR 33.16. This is expected to be a single value in the input, however, if a vector is provided, the Solution will take the 97.5% ES.

• The ES (SES) measure is the capital requirement for the NMRFs filtered on idiosyncratic = N. The Risk Factor level must be present in queries for this measure.

• The ES (ISES) measure is the capital requirement for the NMRFs filtered on idiosyncratic = Y. The Risk Factor level must be present in queries for this measure.

• The SES measure uses the ES (SES) and ES (ISES) measures to calculate SES in MAR 33.17. The value of ρ comes from the ima.rho.ses parameter and defaults to 0.6.