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Documentation Index

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ima
DescriptionThe stressed expected shortfall, as if all positions were under IMA
Variationseuler, incremental
Reference[MAR33.17]
NotationSESSES
FormulaSES=∑i=1IISESNM,i2+∑j=1JISESNM,j2+(ρ⋅∑k=1KSESNM,k)2+(1−ρ2)⋅∑k=1KSESNM,k2\displaystyle SES = \sqrt{\sum_{i=1}^{I}ISES_{NM,i}^2}+\sqrt{\sum_{j=1}^{J}ISES_{NM,j}^2}+\sqrt{\left ( \rho \cdot \sum_{k=1}^{K}SES_{NM,k} \right )^2 + (1-\rho^2) \cdot \sum_{k=1}^{K}SES_{NM,k}^2}
Here’s how the measure is implemented:
  • for I_type non-modellable risk factors and J_type (non-modellable idiosyncratic credit risk factors and non-modellable idiosyncratic credit risk factors) - it aggregates the squared stress scenario capital charges by risk factor (see ES (ISES)), then takes a square root,
  • for K_type non-modellable risk factors, it computes the ES measure for each risk factor (see ES (SES)) and aggregates them with the prescribed correlation factor.
We recommend using the Idiosyncratic hierarchy to break down the charge into idiosyncratic and non-idiosyncratic components and the Risk Classes hierarchy to display the risk factor’s risk class. Please note, that the SES measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under IMA. We recommend applying a filter on FRTB Model equal to “IMA” to limit the scope to positions officially under the “IMA” approach.