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ima
DescriptionThe unconstrained expected shortfall charge
Reference[MAR33.15]
NotationIMCC(C)IMCC(C)
FormulaIMCC(C)=ESR,S⋅ESR,CESR,C\displaystyle IMCC(C)=ES_{R,S} \cdot \frac{ES_{R,C} }{ES_{R,C} }
This measure represents expected shortfall across risk classes, liquidity-adjusted and scaled to stress period. Also referred to as “unconstrained”.