FRTB Accelerator Cube GuideDRC non-Sec JTD Weightings
| Description | The default risk weights assigned to each obligor based on rating category |
|---|---|
| Reference | [MAR22.24] |
The measure requires having hierarchy(ies) in the view: [Default Risk Charge].[DRC Obligor], [Default Risk Charge].[DRC non-Sec Rating].
See also
- Default Risk Charge
- DRC Sec non-CTP JTD Weightings
- DRC Sec non-CTP Net JTD Long
- DRC non-Sec Net JTD Short
- Maturity Scaling Factor
- DRC Sec non-CTP WtS Ratio
- DRC - IMA
- DRC Sec non-CTP Weighted Net JTD Long
- DRC Sec non-CTP Default Risk Charge
- DRC Sec non-CTP Weighted Net JTD Short
- DRC Sec non-CTP Net JTD Short
- DRC non-Sec LGD
- DRC non-Sec Scaled Gross JTD
- DRC non-Sec Weighted Net JTD Long
- DRC non-Sec Gross JTD
- DRC non-Sec Default Risk Charge
- DRC Sec non-CTP Gross JTD
- DRC PnL Expand
- DRC non-Sec Weighted Net JTD Short
- DRC non-Sec Net JTD Long
- DRC non-Sec WtS Ratio
- DRC Sec non-CTP Scaled Gross JTD