I am trying to calculate the Expected shortfall of a FX portfolio through IMA Approach of FRTB in excel . I have used several combinations in excel to get the liquidity horizons and then calculate the ES, but somehow it is not showing the correct result.

Can someone please share the working excel of calculation of the Expected Shortfall via IMA Approach for any of the portfolio? Any help and suggestion will be much appreciated .

Thanks, Manish


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.