- IMA Overview
IMA Desk Approval
Stressed ES (SES) Calculation
Default Risk Charge (DRC) Calculation
Multiplication factor Mc
Regulatory and internal model validation services from CompatibL
The aggregate capital charge for market risk (ACC) under the internal models approach is equal to the aggregate capital requirement for eligible trading desks plus the standardised capital charge for ineligible trading desks.
- – the aggregated charge associated with approved desks
- – the regulatory capital charge associated with risks from unapproved desks
- – Default Risk Charge
For regulatory capital purposes, the aggregated charge associated with approved desks is equal to the maximum of the most recent observation and a weighted average scaled by a multiplier .