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DRC non-Sec Default Risk Charge
| Description |
The total capital charge for default risk non-securitisations as if all positions were under SA |
| Variations |
|
| Reference |
[MAR22.26] |
| Notation |
$DRC$ |
| Formula |
$$DRC = \sum_{b \in Buckets} DRC_b \text{, } \\ DRC_b = max\left [ \left ( \sum_{i \in Long} RW_i \cdot netJtD_{i} \right )-HBR \cdot \left (\sum_{i \in Short} RW_i \cdot \left | netJtD_{i}\right | \right );0 \right ]$$ |
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