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/video-walk-throughs.html
- Video walk-throughs
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
-
Measures
test ../ test cube/measures/measure-variations.html
--
Measure variations
test ../ test cube/measures/acr.html
--
ACR
test ../ test cube/measures/frtbcombined.html
--
FRTBCombined
test ../ test cube/measures/imadrc.html
--
IMADRC
test ../ test cube/measures/internalmodelapproach.html
--
InternalModelApproach
test ../ test cube/measures/pl-and-plsummary.html
--
PL
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/context-values.html
-
Context values
test ../ test cube/dimensions.html
-
Dimensions
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
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
-
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
ES (Current Ratio)
Description
For each risk class and allin risk class, this is the ratio of the liquidity-adjusted ES for full current set and ES for reduced current set. It is floored at 1.
Hierarchies required in the view
Reference
[MAR33.6]
Formula
$$\max\left(\frac{ES_{F,C}}{ES_{R,C}}, 1\right)$$
See also