IMCC and SES calculations

This section describes the IMCC and SES calculations in Atoti FRTB, and how these calculations contribute to the C_A. It assumes familiarity with the MAR 33 specification and of the inputs to the Solution.

Cubes

The IMCC, SES, and CA (Spot) measures are found in InternalModelApproachCube, IMASummaryCube, and FRTBCombinedCube. These measures only look at a single as-of date.

The IMCCavg, SESavg, and CA measures require the long (60 day) history and are only found in FRTBCombinedCube.

• IMCC calculations
• SES calculations
• CA calculations
• IMA ES FX Conversions