IMCC - Atoti Hub

ima


Description	The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors across all sliding windows
Variations	euler, incremental
Reference	[MAR33.15]
Notation	$IMCC$
Formula	$\displaystyle IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )$

The measure is based on the unconstrained expected shortfall charges - ES (Capital Constrained) and Omega. When the Sliding Window hierarchy is not present, a vector of indicators is returned, which you can expand on Sliding Window.