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
- For those desks that are permitted to be on the internal models approach, all risk factors that are deemed to be modellable must be included in the bank’s internal, firm-wide, expected shortfall model. The bank must calculate its internally modelled capital charge at the bank-wide level using this model, with no supervisory constraints on cross risk class correlations
- Unconstrained ES charge is the diversified component of capital charge.