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ES (Capital Constrained)

ima
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,iESR,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