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IMCC Indicator
Description |
Indicator is 1 when sliding window is equal to the max IMCC across all windows and 0 otherwise. |
Variations |
|
Reference |
[MAR33.15] |
Notation |
IMCCIMCC |
Formula |
IMCC=ρ(IMCC(C))+(1−ρ)(R∑i=1IMCC(Ci)) |
The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges -
[ES (Capital Constrained)](es-capital-constrained-stress.html) and [ES (Capital Unconstrained)](es-capital-unconstrained-stress.html).
When the Sliding Window hierarchy is not present, a vector of indicators is returned, which you can expand on Sliding Window.
See also