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ima
DescriptionGeneric regulatory liquidity-adjusted ES measure for each Sliding Window
Hierarchies required in the viewRisk Classes, Data Sets
Reference[MAR33.4]
FormulaES=(EST(P))2+∑j≥2(EST(P,j)LHj−LHj−1T)2\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. When the Sliding Window hierarchy is not present, a vector is returned, which you can expand by bringing Sliding Window into your query.