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IMCC

ima
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))+(1ρ)(Ri=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