IMCC Indicator

ima
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))+(1ρ)(Ri=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