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DRC non-Sec Default Risk Charge

drc_sa

Description	The total capital charge for default risk non-securitisations as if all positions were under SA
Variations	incremental pro_rata euler_numerical
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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