FRTB Accelerator Cubes GuideDRC non-Sec Net JTD Short
| Description | The short net JTD for non-securitisations |
|---|---|
| Reference | [MAR22.19] |
| Formula | $$\sum_{i \in Short}netJTD_i$$ |
For each obligor, represented by [Default Risk Charge].[DRC Obligor] for seniorities S1 > S2 > S3 > … > Sn, for example, Senior > Junior > Equity, represented by [Default Risk Charge].[DRC Seniority] let SumSi be the aggregated DRC non-Sec Scaled Gross JTD over the Si senority (for the obligor), then:
DRC non-Sec Net JTD Short = min(min(min( … (min(SumSn, 0) … ) + SumS3, 0) + SumS2, 0) + SumS1, 0)
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 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