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
In calculating the expected shortfall, a 97.5th percentile, one-tailed confidence level is used:
- is the length of the base horizon, i.e. 10 days.
- is the expected shortfall at horizon of a portfolio with positions with respect to shocks to all risk factors that the positions are exposed to.
- is the expected shortfall at horizon of a portfolio with positions with respect to shocks for each position in the subset of risk factors , with all other risk factors held constant.
- is the subset of risk factors whose liquidity horizons are at least as long as .