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
- Expected shortfall, calibrated to a period of stress, is scaled up by the ratio of the current expected shortfall using the full set of risk factors to the current expected shortfall measure using the reduced set of factors. The expected shortfall for risk capital purposes is calculated using the following formula:
- – ES for risk capital purposes with no constraints to risk class diversification.
- – based on a stressed observation period using a reduced set of risk factors.
- – based on the current 12-month observation period with a full set of risk factors.