IMA Desk Approval
- Stressed ES (SES) Calculation
Default Risk Charge (DRC) Calculation
Multiplication factor Mc
Regulatory and internal model validation services from CompatibL
- Each non-modellable risk factor is to be capitalized using a stress scenario that is calibrated to be at least as prudent as the expected shortfall calibration used for modelled risks.
- Losses should be calibrated to a 97.5% confidence threshold over a period of extreme stress for the given risk factor.
- For each non-modellable risk factor, the liquidity horizon of the stress scenario must be the greater of the largest time interval between two consecutive price observations over the prior year and the liquidity horizon assigned to the risk factor.