Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/using-this-guide.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/frtb-data-model.html - FRTB Data Model test ../ test tutorials.html Tutorials test ../ test tutorials/data-health-check.html - Data Health Check test ../ test tutorials/tips-for-validating-the-calculations.html - Tips for Validating the Calculations test ../ test tutorials/viewing-qis-numbers.html - Viewing QIS Numbers test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html - Workaround for deadlock issue when attempting to create partitions for reference stores test ../ test configuration.html Configuration files test ../ test sign-off.html Sign-Off Approvals test ../ test cube.html Data Cubes test ../ test cube/measures.html - Measures test ../ test cube/measures/measure-variations.html -- Measure variations test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html --- Aggregated RiskCharge by Class test ../ test cube/measures/standardisedapproach/commodity.html --- Commodity test ../ test cube/count.html --- Count test ../ test cube/measures/standardisedapproach/csr-non-sec.html --- CSR non-Sec test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html --- CSR Sec CTP test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html --- CSR Sec non-CTP test ../ test cube/measures/standardisedapproach/drc.html --- DRC test ../ test cube/default-risk-charge.html ---- Default Risk Charge test ../ test cube/drc-adjustment.html ---- DRC Adjustment test ../ test cube/drc-non-sec-default-risk-charge.html ---- DRC non-Sec Default Risk Charge test ../ test cube/drc-non-sec-gross-jtd.html ---- DRC non-Sec Gross JTD test ../ test cube/drc-non-sec-jtd-weightings.html ---- DRC non-Sec JTD Weightings test ../ test cube/drc-non-sec-jtd-weightings-override.html ---- DRC non-Sec JTD Weightings Override test ../ test cube/drc-non-sec-lgd.html ---- DRC non-Sec LGD test ../ test cube/drc-non-sec-net-jtd-long.html ---- DRC non-Sec Net JTD Long test ../ test cube/drc-non-sec-net-jtd-short.html ---- DRC non-Sec Net JTD Short test ../ test cube/drc-non-sec-scaled-gross-jtd.html ---- DRC non-Sec Scaled Gross JTD test ../ test cube/drc-non-sec-weighted-net-jtd-long.html ---- DRC non-Sec Weighted Net JTD Long test ../ test cube/drc-non-sec-weighted-net-jtd-short.html ---- DRC non-Sec Weighted Net JTD Short test ../ test cube/drc-non-sec-wts-ratio.html ---- DRC non-Sec WtS Ratio test ../ test cube/drc-sec-ctp-default-risk-charge.html ---- DRC Sec CTP Default Risk Charge test ../ test cube/drc-sec-ctp-default-risk-charge-aggregated.html ---- DRC Sec CTP Default Risk Charge Aggregated test ../ test cube/drc-sec-ctp-default-risk-charge-bucket.html ---- DRC Sec CTP Default Risk Charge Bucket test ../ test cube/drc-sec-ctp-gross-jtd.html ---- DRC Sec CTP Gross JTD test ../ test cube/drc-sec-ctp-hbr.html ---- DRC Sec CTP HBR test ../ test cube/drc-sec-ctp-hbr-top.html ---- DRC Sec CTP HBR Top test ../ test cube/drc-sec-ctp-net-jtd-long.html ---- DRC Sec CTP Net JTD Long test ../ test cube/drc-sec-ctp-net-jtd-short.html ---- DRC Sec CTP Net JTD Short test ../ test cube/drc-sec-ctp-scaled-gross-jtd.html ---- DRC Sec CTP Scaled Gross JTD test ../ test cube/drc-sec-ctp-weighted-net-jtd-long.html ---- DRC Sec CTP Weighted Net JTD Long test ../ test cube/drc-sec-ctp-weighted-net-jtd-short.html ---- DRC Sec CTP Weighted Net JTD Short test ../ test cube/drc-sec-non-ctp-default-risk-charge.html ---- DRC Sec non-CTP Default Risk Charge test ../ test cube/drc-sec-non-ctp-gross-jtd.html ---- DRC Sec non-CTP Gross JTD test ../ test cube/drc-sec-non-ctp-jtd-weightings.html ---- DRC Sec non-CTP JTD Weightings test ../ test cube/drc-sec-non-ctp-jtd-weightings-override.html ---- DRC Sec non-CTP JTD Weightings Override test ../ test cube/drc-sec-non-ctp-net-jtd-long.html ---- DRC Sec non-CTP Net JTD Long test ../ test cube/drc-sec-non-ctp-net-jtd-short.html ---- DRC Sec non-CTP Net JTD Short test ../ test cube/drc-sec-non-ctp-scaled-gross-jtd.html ---- DRC Sec non-CTP Scaled Gross JTD test ../ test cube/drc-sec-non-ctp-weighted-net-jtd-long.html ---- DRC Sec non-CTP Weighted Net JTD Long test ../ test cube/drc-sec-non-ctp-weighted-net-jtd-short.html ---- DRC Sec non-CTP Weighted Net JTD Short test ../ test cube/drc-sec-non-ctp-wts-ratio.html ---- DRC Sec non-CTP WtS Ratio test ../ test cube/maturity-scaling-factor.html ---- Maturity Scaling Factor test ../ test cube/pv.ccy-drc.html ---- PV.CCY DRC test ../ test cube/measures/standardisedapproach/equity.html --- Equity test ../ test cube/measures/standardisedapproach/fx.html --- FX test ../ test cube/measures/standardisedapproach/girr.html --- GIRR test ../ test cube/notional.html --- Notional test ../ test cube/notional-original-currency.html --- Notional (Original Currency) test ../ test cube/notional-original-currency-drc.html --- Notional (Original Currency) DRC test ../ test cube/notional-drc.html --- Notional DRC test ../ test cube/pv.html --- PV test ../ test cube/pv-drc.html --- PV DRC test ../ test cube/pv.ccy.html --- PV.CCY test ../ test cube/measures/standardisedapproach/rrao.html --- RRAO test ../ test cube/timestamp.html --- Timestamp test ../ test cube/dimensions.html - Dimensions test ../ test what-if.html What-If Analysis test ../ test datastore.html Data Stores test ../ test input-files.html Input Files test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration notes test ../ test dev/dev-getting-started.html - Getting Started test ../ test dev/dev-ref-impl.html - FRTB Reference Implementation test ../ test dev/dev-core.html - FRTB Core test ../ test dev/dev-extensions.html - Extending the Accelerator test ../ test dev/dev-tools.html - Configuring Accelerator tools and methodologies test ../ test dev/dev-sign-off.html - Sign-Off test ../ test interpret-impl.html FRTB Accelerator Interpretation and Implementation of BCBS 457 test ../ test pdf-guides.html PDF Guides test ../ test glossary.html Glossary DRC non-Sec Gross JTD drc_sa Description The instruments gross JTD Reference [MAR22.11] Formula $$JtD (long) = max(LGD \cdot notional + PL, 0) \\ JtD (short) = min(LGD \cdot notional + PL, 0)$$ See also DRC - IMA DRC Adjustment DRC PnL Expand DRC Sec CTP Default Risk Charge DRC Sec CTP Default Risk Charge Aggregated DRC Sec CTP Default Risk Charge Bucket DRC Sec CTP Gross JTD DRC Sec CTP HBR DRC Sec CTP HBR Top DRC Sec CTP Net JTD Long DRC Sec CTP Net JTD Short DRC Sec CTP Scaled Gross JTD DRC Sec CTP Weighted Net JTD Long DRC Sec CTP Weighted Net JTD Short DRC Sec non-CTP Default Risk Charge DRC Sec non-CTP Gross JTD DRC Sec non-CTP JTD Weightings DRC Sec non-CTP JTD Weightings Override DRC Sec non-CTP Net JTD Long DRC Sec non-CTP Net JTD Short DRC Sec non-CTP Scaled Gross JTD DRC Sec non-CTP Weighted Net JTD Long DRC Sec non-CTP Weighted Net JTD Short DRC Sec non-CTP WtS Ratio DRC non-Sec Default Risk Charge DRC non-Sec JTD Weightings DRC non-Sec JTD Weightings Override DRC non-Sec LGD DRC non-Sec Net JTD Long DRC non-Sec Net JTD Short DRC non-Sec Scaled Gross JTD DRC non-Sec Weighted Net JTD Long DRC non-Sec Weighted Net JTD Short DRC non-Sec WtS Ratio Default Risk Charge Maturity Scaling Factor DRC non-Sec Default Risk Charge DRC non-Sec JTD Weightings