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Squared ES (Liquidity Adj.)
Description |
The expression under the root of the liquidity-adjusted expected shortfall formula |
Reference |
[MAR33.4] |
Formula |
ES2=(EST(P))2+∑j≥2(EST(P,j)√(LHj−LHj−1)T))2ES2=(EST(P))2+∑j≥2⎛⎝EST(P,j)√(LHj−LHj−1)T)⎞⎠2 |
See also