Skip to main content
ima
DescriptionFor each risk class and allin risk class, this is expected shortfall charge
Hierarchies required in the viewRisk Classes
Reference[MAR33.4]
FormulaES=ESR,S⋅ESF,CESR,C\displaystyle ES = ES_{R,S} \cdot \frac{ES_{F,C}}{ES_{R,C}}
The measure takes the result of ES (Liquidity Adj.) measure filtered by the [Risk].[Data Sets] equal to ‘Reduced Set Stressed’ and scales it by the ratio of the ES (Liquidity Adj.) for [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’. By the way, the ratio of the ES (Liquidity Adj.) for the [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’ can be displayed using ES (Current Ratio).