FRTB, ES waterfall practical application


New Member
Hello, everyone

For proposed IMA approach with the ES waterfall we have for example the following calculation: "ES2 is calculated as a 10-day shock in categories 2-5, holding category 1 constant".

I cannot understand how this is done in practical terms.
So, we have selected the 250-day stressed period and we have classified the risks in our trading book in different categories.
How exactly do we execute the sentence above? Could someone explain with a (detailed) example, please?
Thank you in advance!