Navigation : Getting started - About - CRR2 support - Glossary Tutorials - Data Health Check - Tips for Validating the Calculations - Viewing QIS Numbers - Workaround for deadlock issue when attempting to create partitions for reference stores Cube reference - Measures -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP --- CSR Sec non-CTP --- DRC ---- Default Risk Charge ---- 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 ---- 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 ---- Maturity Scaling Factor ---- PV.CCY DRC --- Equity --- FX --- GIRR --- Notional --- Notional (Original Currency) --- Notional (Original Currency) DRC --- Notional DRC --- PV --- PV DRC --- PV.CCY --- RRAO --- Timestamp - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Maturity Scaling Factor drc_sa Description The maturity weighting applied to gross JTD to account for defaults within the one year capital horizon Reference [MAR22.20] 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 Weighted Net JTD Short DRC non-Sec WtS Ratio Default Risk Charge DRC Sec non-CTP WtS Ratio PV.CCY DRC
FRTB Accelerator Reference Guide v2.4.0