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ima
DescriptionThe expression under the root of the liquidity-adjusted expected shortfall formula
Reference[MAR33.4]
FormulaES2=(EST(P))2+∑j≥2(EST(P,j)(LHj−LHj−1)T)2\displaystyle ES^2 = \left(ES_T(P)\right)^2 + \sum_{j\geq 2}\left(ES_T(P,j)\sqrt{\frac{(LH_j - LH_{j-1})}{T}}\right)^2