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IMCC
| 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