ES (liquidity adj.)

ima


Description	Generic regulatory liquidity-adjusted ES measure
Hierarchies required in the view	Risk Classes, Data Sets
Reference	[MAR33.4]
Formula	$\displaystyle ES = \sqrt{\left(ES_T(P)\right)^2 + \sum_{j\geq 2}\left(ES_T(P,j)\sqrt{\frac{(LH_j - LH_{j-1})}{T}}\right)^2}$

This measure applies liquidity horizons adjustment to the ES (Basic) measure. This measure needs to be combined with [Risk].[Risk Classes] and [Risk].[Data Sets] to produce a business interpretable result.

⌘I