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ima
DescriptionThe IMCC multiplier reflecting weighted average of 1 and the ratio of undiversified IMCC(C) to diversified IMCC(C) (BCBS 395: 2.1 Q1) for each sliding window
Notationω\omega
Formulaω=ρ+(1−ρ)∑i=1RIMCC(Ci)IMCC(C)\displaystyle \omega=\rho +(1-\rho) \frac{ \sum_{i=1}^R IMCC(C_i) }{ IMCC(C)}
The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained). With ω\omega, the IMCC formula can be rewritten as: IMCC=ω⋅IMCC(C)IMCC = \omega \cdot IMCC( C ) When the Sliding Window hierarchy is not present, a vector of indicators is returned, which you can expand on Sliding Window.