Squared ES (Liquidity Adj.)

ima
Description The expression under the root of the liquidity-adjusted expected shortfall formula
Reference [MAR33.4]
Formula ES2=(EST(P))2+j2(EST(P,j)(LHjLHj1)T))2ES2=(EST(P))2+j2EST(P,j)(LHjLHj1)T)2

See also