FRTB Accelerator Reference Guide v3.0.0Default Risk Charge
| Description | The default risk charge per SA approach as if all positions are under SA |
|---|---|
| Variations | |
| Reference | [MAR22.2] |
Default Risk Charge = DRC non-Sec Default Risk Charge +DRC Sec non-CTP Default Risk Charge
Please note, that this measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under SA. We recommend applying a filter on [Booking].[FRTB Model] equal to “SA” to limit the scope to positions officially under the “SA” approach.
See also
- DRC - IMA
- DRC Adjustment
- 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 JTD Weightings Override
- 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 JTD Weightings Override
- 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
- Maturity Scaling Factor