FRTB Accelerator Reference Guide v2.4.0DRC PnL Expand
| Description | The simulated PL vectors - input data for the DRC VaR calculation |
|---|---|
| Hierarchy(ies) required in the view |
Using this measure, you can display trade level input data of the ES calculation. We recommend combining this measure with the following hierarchies:
See also
- DRC - IMA
- 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
- Default Risk Charge
- Maturity Scaling Factor