FRTB Accelerator Cubes GuideDRC non-Sec Weighted Net JTD Short
| Description | The risk weighted short netJtD |
|---|---|
| Reference | [MAR22.25] |
| Formula | $$\sum_{i \in Short} RW_i \cdot netJtD_{i}$$ |
The measure applies DRC non-Sec JTD Weightings to DRC non-Sec Net JTD Short.
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 WtS Ratio
- Default Risk Charge
- Maturity Scaling Factor