> ## 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.

# Squared ES (liquidity adj.)

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

|                 |                                                                                                                                           |
| --------------- | ----------------------------------------------------------------------------------------------------------------------------------------- |
| **Description** | The expression under the root of the liquidity-adjusted expected shortfall formula                                                        |
| **Reference**   | [\[MAR33.4\]](https://www.bis.org/basel_framework/chapter/MAR/33.htm?inforce=20230101\&published=20200327#paragraph_MAR_33_20230101_33_4) |
| **Formula**     | $\displaystyle ES^2 = \left(ES_T(P)\right)^2 + \sum_{j\geq 2}\left(ES_T(P,j)\sqrt{\frac{(LH_j - LH_{j-1})}{T}}\right)^2$                  |