> ## 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.

# IMCC calculations

The following measures walk through the IMCC calculation and can be found in the bookmark: Basel Framework → IMA → IMCC.

* The calculations start with the P\&L vectors.  These can be queried using the [PnL Expand](../../../../cube/pnl-expand) measure.
  The P\&L vectors are defined per **Liquidity Horizon**, **Risk Class**, and **Data Set**.  Aggregation across these levels is not defined, so each of these levels must be present in queries for this measure.
  Additionally, **PnL Expand** expands the P\&L vector along the Scenarios analysis hierarchy.

* Next, the [ES (Basic)](../../../../cube/es-basic-ima) measure calculates the expected shortfall from the P\&L vector.
  Again, there is no aggregation across the **Liquidity Horizon**, **Risk Class**, and **Data Set** levels and they must be present in queries for this measure.
  The confidence level comes from the `ima.es.confidence-level` parameter, and defaults to 97.5%.

* The [ES (Liquidity Adj.)](../../../../cube/es-liquidity-adj-ima) measure combines the expected shortfall across liquidity horizons, by performing the liquidity adjustment of [MAR 33.4](https://www.bis.org/basel_framework/chapter/MAR/33.htm?inforce=20230101\&published=20200327#paragraph_MAR_33_20230101_33_4).
  The **Data Set** and **Risk Class** levels must still be present in queries for this measure.
  The value of *T* comes from the `ima.base-horizon` parameter, and defaults to 10.

* The [ES (Model Variation)](../../../../cube/es-model-variation-ima) measure is the ratio of the expected shortfall of the reduced, current dataset with the full, current dataset.  As per [MAR 33.5 (2)(b)](https://www.bis.org/basel_framework/chapter/MAR/33.htm?inforce=20230101\&published=20200327#paragraph_MAR_33_20230101_33_5), this should be at least 75%.
  The **Risk Class level** must still be present in queries for this measure.

* The [ES (Capital)](../../../../cube/es-capital-ima) measure combines the expected shortfall across datasets to calibrate it to the period of stress, according to [MAR 33.6](https://www.bis.org/basel_framework/chapter/MAR/33.htm?inforce=20230101\&published=20200327#paragraph_MAR_33_20230101_33_6).
  The  **Risk Class** level must still be present in queries for this measure.

* The [ES (Capital Constrained)](../../../../cube/es-capital-constrained-ima) measure is the sum of **ES (Capital)** over the risk-classes, excluding the "allin" risk-class.

* The [ES (Capital Unconstrained)](../../../../cube/es-capital-unconstrained-ima) measure is the **ES (Capital)** filtered by "allin" risk-class.

* The [Omega](../../../../cube/omega-ima) measure is the value of ω in the [MAR 33.15](https://www.bis.org/basel_framework/chapter/MAR/33.htm?inforce=20230101\&published=20200327#paragraph_MAR_33_20230101_33_15) FAQ.

* The [IMCC](../../../../cube/imcc-ima) measure uses the **ES (Capital Constrained)** and **ES (Capital Unconstrained)** measures to calculate *IMCC* in [MAR 33.15](https://www.bis.org/basel_framework/chapter/MAR/33.htm?inforce=20230101\&published=20200327#paragraph_MAR_33_20230101_33_15).
  The value of ρ comes from the `ima.rho.imcc` parameter, and defaults to 0.5.