Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
CA
The aggregate (non-DRC) capital requirement which disregards individual desks capital treatment, as if all positions were under IMA approach
ES (Basic)
Calculates the expected shortfall from the P&L vectors.
ES (Basic Non-Modellable Idiosyncratic)
Technical measure
ES (Basic Non-Modellable Non-Idiosyncratic)
Technical measure
ES (Basic).D2D
DtD change for the measure ES (Basic)
ES (Capital Constrained)
The non-diversifiable risk class ES charges (also known as constrained expected shortfall charge)
ES (Capital)
For each risk class and allin risk class, this is expected shortfall charge
ES (Capital Unconstrained)
The unconstrained expected shortfall charge
ES (Current Ratio)
For each risk class and allin risk class, this is the ratio of the liquidity adjusted ES for full current set and ES for reduced current set. It is floored at 1.
ES (ISES)
The measure shows the capital requirement for each non-modellable idiosyncratic risk factor (I-type risk factors and J-type risk factors)
ES (Liquidity Adj.)
Generic regulatory liquidity-adjusted ES measure
ES (Model Variation)
For each risk class and allin risk class, this is the ratio of the liquidity adjusted ES for reduced current set and ES for full current set
ES Scenario Rank
Computes simulated PL rank for each ES Scenario
ES (SES)
The measure shows the capital requirement for non-modellable, non-idiosyncratic risk factors (K-type risk factors)
IMCC
The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors
IMCC.D2D
Day-to-day change for a measure
Omega
The IMCC multiplier reflecting weighted average of 1 and the ratio of undiversified IMCC(C) to diversified IMCC(C) (BCBS 395: 2.1 Q1). May be computed on a different date
PnL Expand
The simulated PL vectors - input data for ES calculation
SES
The stressed expected shortfall, as if all positions were under IMA
Squared ES (Liquidity Adj.)
The expression under the root of the liquidity-adjusted expected shortfall formula
Squared LHScaleFactor
The current liquidity horizon minus the previous and divided by the base liquidity horizon