InternalModelApproach
Measures for the Internal Models Approach (IMA) in FRTBCombinedCube, covering expected shortfall, IMCC, and stress calibration calculations as if all positions were under IMA
All measures in this section compute charges as if all positions were under IMA, regardless of their actual capital treatment.
Note: The measures in this section disregard the actual capital treatment of individual positions and compute charges as if all positions are under IMA. We recommend applying a filter on [Booking].[FRTB Model] equal to “IMA” to limit the scope to positions officially under the “IMA” approach.