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Documentation Index

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ima
DescriptionThe aggregate capital requirement for market risk
Variationseuler, incremental, spot
Reference[MAR33.43]
FormulaACRtotal=min{IMAGA+CapitalSurcharge+CU;SAall desk}+max{0;IMAG,A−SAG,A}\displaystyle ACR_{total}=min\left \{ IMA_{GA}+ CapitalSurcharge + C_U; SA_{all\text{ }desk}\right \} + max\left \{ 0;IMA_{G,A}-SA_{G,A} \right \}