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ES (Capital Unconstrained)
Description |
The unconstrained expected shortfall charge |
Reference |
[MAR33.15] |
Notation |
IMCC(C) |
Formula |
IMCC(C)=ESR,S⋅ESR,CESR,C |
This measure represents expected shortfall liquidity-adjusted and scaled to stress period across risk classes. Also referred to as “unconstrained”.
See also