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.Documentation Index
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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