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
- ES charge should be also calculate within each asset class (FX, Interest Rate, Equity, Commodity, Credit Spread).
- – asset class ES for risk capital purposes.
- – asset class index (FX, Interest Rate, Equity, Commodity, Credit Spread).
- – based on a stressed observation period using a reduced set of risk factors for asset class .
- – based on the current 12-month observation period with a full set of risk factors for asset class .