Skip to main content
ima The measure is based on the unconstrained expected shortfall charges - ES (Capital Constrained) and Omega.
The decomposition of IMCC (involving the Risk Class hierarchy) will use the compact formula without Omega :IMCC=ρ(IMCC(C))+(1−ρ)(∑i=1RIMCC(Ci))IMCC=\rho \left( IMCC(C) \right)+(1-\rho) \left( \sum_{i=1}^R IMCC(C_i) \right)