Default Risk Charge

Default Risk Charge = DRC non-Sec Default Risk Charge +DRC Sec non-CTP Default Risk Charge

Please note, that this measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under SA. We recommend applying a filter on [Booking].[FRTB Model] equal to “SA” to limit the scope to positions officially under the “SA” approach.

See also

• DRC - IMA
• DRC PnL Expand
• DRC Sec non-CTP Default Risk Charge
• DRC Sec non-CTP Gross JTD
• DRC Sec non-CTP JTD Weightings
• 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 Gross JTD
• DRC non-Sec JTD Weightings
• 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
• Maturity Scaling Factor