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Documentation Index

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ima
DescriptionIndicator is 1 when sliding window is equal to the max IMCC across all windows and 0 otherwise.
Variationseuler, incremental
Reference[MAR33.15]
NotationIMCCIMCC
FormulaIMCC=ρ(IMCC(C))+(1−ρ)(∑i=1RIMCC(Ci))\displaystyle IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )
The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained). When the Sliding Window hierarchy is not present, a vector of indicators is returned, which you can expand on Sliding Window.