IMA Desk Approval
- IMCC Calculation
Stressed ES (SES) Calculation
Default Risk Charge (DRC) Calculation
Multiplication factor Mc
Regulatory and internal model validation services from CompatibL
- The bank must calculate a series of partial expected shortfall charges (i.e. all other risk factors must be held constant) for the range of broad regulatory risk classes (interest rate risk, equity risk, foreign exchange risk, commodity risk and credit spread risk).
- Constrained ES charge is the un diversified component of capital charge.
- These partial, non-diversifiable expected shortfall values will then be summed to provide an aggregated risk class expected shortfall charge.