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ima
DescriptionThe internally modelled capital charge, also known as aggregate capital charge for modellable risk factors across all sliding windows
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 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.