Navigation :
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 |
$IMCC$ |
| Formula |
$$IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )$$ |
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