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ES (Capital Constrained)
Description |
The non-diversifiable risk class ES charges (also known as constrained expected shortfall charge) |
Reference |
[MAR33.15] |
Notation |
∑Ri=1IMCC(Ci) where IMCC(Ci)=ESR,S,i⋅ESR,C,iESR,C,i |
The measure takes the results of ES (Capital) calculation for the individual Risk Classes (not ‘allin’) and then sums them up.
See also