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 expected shortfall measure must be calibrated to a period of stress. This calibration is to be based on an ”indirect” approach using a reduced set of risk factors.
- Banks should calculate expected shortfall for the portfolio using this set of risk factors and calibrated to the most severe 12-month period of stress available over the observation horizon.
- Banks are to specify a reduced set of risk factors that are relevant for their portfolio and for which there is a sufficiently long history of observations.
- Reduced set of risk factors is subject to supervisory approval and must meet the data quality requirements for a modellable risk factor.
- Reduced set of risk factors must be able to explain a minimum of 75% of the variation of the full ES model.
- A bank may omit the usage of a reduced set of risk factors so that the ratio will be floored to 1.