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ES (Capital)

ima
Description For each risk class and allin risk class, this is expected shortfall charge
Hierarchies required in the view
Reference [MAR33.4]
Formula ES=ESR,SESF,CESR,C

The measure takes the result of ES (Liquidity Adj.) measure filtered by the [Risk].[Data Sets] equal to ‘Reduced Set Stressed’ and scales it by the ratio of the ES (Liquidity Adj.) for [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’.

By the way, the ratio of the ES (Liquidity Adj.) for the [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’ can be displayed using ES (Current Ratio).

See also