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Omega

ima
Description The IMCC multiplier reflecting weighted average of 1 and the ratio of undiversified IMCC(C) to diversified IMCC(C) (BCBS 395: 2.1 Q1) for each sliding window
Notation ω
Formula ω=ρ+(1ρ)Ri=1IMCC(Ci)IMCC(C)

The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained).

With ω, the IMCC formula can be rewritten as:

IMCC=ωIMCC(C)

When the Sliding Window hierarchy is not present, a vector of indicators is returned, which you can expand on Sliding Window.

See also