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IMCC

ima
Description The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors
Variations
Reference [MAR33.15]
Notation $IMCC$
Formula $$ IMCC = \omega \cdot IMCC( C ) $$

The measure is based on the unconstrained expected shortfall charges - ES (Capital Constrained) and Omega.

note

The decomposition of IMCC (involving the Risk Class hierarchy) will use the compact formula without Omega : $$IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )$$

See also