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

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