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 - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 DRC - IMA drc_ima Description The default risk charge under IMA approach, as if all positions were approved for IMA Variations euler incremental spot Reference [MAR33.18] See also 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 Default Risk Charge Maturity Scaling Factor Getting started
FRTB Accelerator Reference Guide v3.0.0