FRTB Accelerator Reference Guide v2.4.0DRC non-Sec Scaled Gross JTD
| Description | The maturity weighted Gross JtD |
|---|---|
| Reference | [MAR22.20] |
The measure can be described as:
DRC non-Sec Scaled Gross JTD = Maturity Scaling Factor x DRC non-Sec Gross JTD.
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 Weighted Net JTD Long
- DRC non-Sec Weighted Net JTD Short
- DRC non-Sec WtS Ratio
- Default Risk Charge
- Maturity Scaling Factor