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Omega

ima
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) for each sliding window
Notation $\omega$
Formula $$\omega=\rho +(1-\rho) \frac{ \sum_{i=1}^R IMCC(C_i) }{ IMCC(C)}$$

The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained).

With $\omega$, the IMCC formula can be rewritten as:

$$ IMCC = \omega \cdot IMCC( C ) $$

When the [Risk].[Sliding Window] hierarchy is not present, a vector of Omega values is returned which you can expand on [Risk].[Sliding Window].

See also