> ## 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, for each risk-class and each 1-year period.                                                                                                                            |
| **Variations**                       | [euler](./euler), [incremental](./incremental)                                                                                                                                                          |
| **Hierarchies required in the view** | [Risk Classes](./risk-classes), [Sliding Window](./sliding-window)                                                                                                                                      |
| **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-stress)), 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-stress)) 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.

<Note>
  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.
</Note>