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SES

ima
Description The stressed expected shortfall, for each risk-class and each 1-year period.
Variations
Hierarchies required in the view
Reference [MAR33.17]
Notation $SES$
Formula $$SES = \sqrt{\sum_{i=1}^{I}ISES_{NM,i}^2}+\sqrt{\sum_{j=1}^{J}ISES_{NM,j}^2}+\sqrt{\left ( \rho \cdot \sum_{k=1}^{K}SES_{NM,k} \right )^2 + (1-\rho^2) \cdot \sum_{k=1}^{K}SES_{NM,k}^2}$$

Here’s how the measure is implemented:

  • For I_type non-modellable risk factors and J_type (non-modellable idiosyncratic credit risk factors and non-modellable idiosyncratic credit risk factors) - it aggregates the squared stress scenario capital charges by risk factor (see ES (ISES)), then takes a square root.
  • For K_type non-modellable risk factors, it computes the ES measure for each risk factor (see ES (SES)) and aggregates them with the prescribed correlation factor.

We recommend using the Idiosyncratic hierarchy to break down the charge into idiosyncratic and non-idiosyncratic components and the Risk Classes hierarchy to display the risk factor’s risk class.

note

The SES measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under IMA. We recommend applying a filter on FRTB Model equal to “IMA” to limit the scope to positions officially under the “IMA” approach.

See also