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IMCC
Description |
The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors across all sliding windows |
Variations |
|
Reference |
[MAR33.15] |
Notation |
IMCC |
Formula |
IMCC=ρ(IMCC(C))+(1−ρ)(R∑i=1IMCC(Ci)) |
The measure is based on the unconstrained expected shortfall charges - ES (Capital Constrained) and Omega.
When the Sliding Window hierarchy is not present, a vector of indicators is returned, which you can expand on Sliding Window.
See also