> ## 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.

# SES

<Badge color="gray" size="lg">[ima](./measures/imadrc)</Badge>

|                 |                                                                                                                                                                                                         |
| --------------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| **Description** | The stressed expected shortfall, as if all positions were under IMA                                                                                                                                     |
| **Variations**  | [euler](./euler), [incremental](./incremental)                                                                                                                                                          |
| **Reference**   | [\[MAR33.17\]](https://www.bis.org/basel_framework/chapter/MAR/33.htm?inforce=20230101\&published=20200327#paragraph_MAR_33_20230101_33_17)                                                             |
| **Notation**    | $SES$                                                                                                                                                                                                   |
| **Formula**     | $\displaystyle SES = \sqrt{\sum_{i=1}^{I}ISES_{NM,i}^2}+\sqrt{\sum_{j=1}^{J}ISES_{NM,j}^2}+\sqrt{\left ( \rho \cdot \sum_{k=1}^{K}SES_{NM,k} \right )^2 + (1-\rho^2) \cdot \sum_{k=1}^{K}SES_{NM,k}^2}$ |

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)](./es-ises-ima)), then takes a square root,
* for K\_type non-modellable risk factors, it computes the ES measure for each risk factor (see [ES (SES)](./es-ses-ima)) 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.