Navigation :
test ../../../../../../../ test about.html
About
test ../../../../../../../ test about/qis-quick-start_qisonly.html
- Quick Start
test ../../../../../../../ test input-files.html
Input Data
test ../../../../../../../ test tutorials.html
Tutorials
test ../../../../../../../ test tutorials/how-to-prepare-data-for-qis.html
- How to Prepare Data for QIS
test ../../../../../../../ test tutorials/data-sanity-check.html
- Data Sanity 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 interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../../../../../../../ test interpret-impl/acr.html
-
ACR
test ../../../../../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc.html
---
SA DRC
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec.html
----
DRC non-Sec
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/interpretation-note.html
----- Interpretation Note
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core.html
-----
Data Model (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations.html
-----
Calculations
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/etl.html
------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core.html
------
Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/gross-jtd.html
------- Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/scaled-gross-jtd.html
------- Scaled Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/net-jtd.html
------- Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/hbr.html
------- HBR
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/risk-weight.html
------- Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/weighted-net-jtd.html
------- Weighted Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/default-risk-charge.html
------- Default Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/configuration-core.html
-----
Configuration (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp.html
----
DRC Sec non-CTP
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SA SBM
test ../../../../../../../ test interpret-impl/_footer.html
-
test ../../../../../../../ test cube.html
Analytics Reference
test ../../../../../../../ test glossary.html
Glossary
Default Risk Charge
The Default Risk Charge [MAR22.25] and [MAR22.26] from the Weighted Net JTD Long/Short and HBR measures.
It is first calculated independently for each bucket, then summed over the buckets.
For obligors who have been flagged as high yield and distressed funds, the Default Risk Charge is calculated for those funds on a standalone basis before being included in the sum over the buckets.