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ima
DescriptionThe internally modelled capital charge, also known as aggregate capital charge for modellable risk factors
Variationseuler, incremental
Reference[MAR33.15]
NotationIMCCIMCC
FormulaIMCC=ω⋅IMCC(C)\displaystyle IMCC = \omega \cdot IMCC( C )
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)