☰
Navigation :

ES (Liquidity Adj.)

ima
Description Generic regulatory liquidity-adjusted ES measure for each Sliding Window
Hierarchies required in the view
Reference [MAR33.4]
Formula $$ES = \sqrt{\left ( ES_T(P) \right )^2 + \sum_{j\geq 2} \left ( ES_T(P,j)\sqrt{\frac{(LH_j-LH_{j-1})}{T}})\right )^2}$$

This measure applies liquidity horizons adjustment to the ES (Basic) measure. This measure needs to be combined with [Risk].[Risk Classes] and [Risk].[Data Sets] to produce a business interpretable result.

When the Sliding Window hierarchy is not present, a vector is returned, which you can expand by bringing Sliding Window into your query.

See also