Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/using-this-guide.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/frtb-data-model.html - FRTB Data Model test ../ test tutorials.html Tutorials test ../ test tutorials/data-health-check.html - Data Health Check test ../ test tutorials/tips-for-validating-the-calculations.html - Tips for Validating the Calculations test ../ test tutorials/viewing-qis-numbers.html - Viewing QIS Numbers test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html - Workaround for deadlock issue when attempting to create partitions for reference stores test ../ test what-if.html What-If Analysis test ../ test configuration.html Configuration files test ../ test cube.html Data Cubes test ../ test cube/measures.html - Measures test ../ test cube/measures/measure-variations.html -- Measure variations test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html --- Aggregated RiskCharge by Class test ../ test cube/measures/standardisedapproach/commodity.html --- Commodity test ../ test cube/count.html --- Count test ../ test cube/measures/standardisedapproach/csr-non-sec.html --- CSR non-Sec test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html --- CSR Sec CTP test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html --- CSR Sec non-CTP test ../ test cube/measures/standardisedapproach/drc.html --- DRC test ../ test cube/default-risk-charge.html ---- Default Risk Charge test ../ test cube/drc-adjustment.html ---- DRC Adjustment test ../ test cube/drc-non-sec-default-risk-charge.html ---- DRC non-Sec Default Risk Charge test ../ test cube/drc-non-sec-gross-jtd.html ---- DRC non-Sec Gross JTD test ../ test cube/drc-non-sec-jtd-weightings.html ---- DRC non-Sec JTD Weightings test ../ test cube/drc-non-sec-jtd-weightings-override.html ---- DRC non-Sec JTD Weightings Override test ../ test cube/drc-non-sec-lgd.html ---- DRC non-Sec LGD test ../ test cube/drc-non-sec-net-jtd-long.html ---- DRC non-Sec Net JTD Long test ../ test cube/drc-non-sec-net-jtd-short.html ---- DRC non-Sec Net JTD Short test ../ test cube/drc-non-sec-scaled-gross-jtd.html ---- DRC non-Sec Scaled Gross JTD test ../ test cube/drc-non-sec-weighted-net-jtd-long.html ---- DRC non-Sec Weighted Net JTD Long test ../ test cube/drc-non-sec-weighted-net-jtd-short.html ---- DRC non-Sec Weighted Net JTD Short test ../ test cube/drc-non-sec-wts-ratio.html ---- DRC non-Sec WtS Ratio test ../ test cube/drc-sec-non-ctp-default-risk-charge.html ---- DRC Sec non-CTP Default Risk Charge test ../ test cube/drc-sec-non-ctp-gross-jtd.html ---- DRC Sec non-CTP Gross JTD test ../ test cube/drc-sec-non-ctp-jtd-weightings.html ---- DRC Sec non-CTP JTD Weightings test ../ test cube/drc-sec-non-ctp-jtd-weightings-override.html ---- DRC Sec non-CTP JTD Weightings Override test ../ test cube/drc-sec-non-ctp-net-jtd-long.html ---- DRC Sec non-CTP Net JTD Long test ../ test cube/drc-sec-non-ctp-net-jtd-short.html ---- DRC Sec non-CTP Net JTD Short test ../ test cube/drc-sec-non-ctp-scaled-gross-jtd.html ---- DRC Sec non-CTP Scaled Gross JTD test ../ test cube/drc-sec-non-ctp-weighted-net-jtd-long.html ---- DRC Sec non-CTP Weighted Net JTD Long test ../ test cube/drc-sec-non-ctp-weighted-net-jtd-short.html ---- DRC Sec non-CTP Weighted Net JTD Short test ../ test cube/drc-sec-non-ctp-wts-ratio.html ---- DRC Sec non-CTP WtS Ratio test ../ test cube/maturity-scaling-factor.html ---- Maturity Scaling Factor test ../ test cube/pv.ccy-drc.html ---- PV.CCY DRC test ../ test cube/measures/standardisedapproach/equity.html --- Equity test ../ test cube/measures/standardisedapproach/fx.html --- FX test ../ test cube/measures/standardisedapproach/girr.html --- GIRR test ../ test cube/notional.html --- Notional test ../ test cube/notional-original-currency.html --- Notional (Original Currency) test ../ test cube/notional-original-currency-drc.html --- Notional (Original Currency) DRC test ../ test cube/notional-drc.html --- Notional DRC test ../ test cube/pv.html --- PV test ../ test cube/pv-drc.html --- PV DRC test ../ test cube/pv.ccy.html --- PV.CCY test ../ test cube/measures/standardisedapproach/rrao.html --- RRAO test ../ test cube/timestamp.html --- Timestamp test ../ test cube/dimensions.html - Dimensions test ../ test datastore.html Data Stores test ../ test input-files.html Input File Formats test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration notes test ../ test dev/dev-getting-started.html - Getting Started test ../ test dev/dev-ref-impl.html - FRTB Reference Implementation test ../ test dev/dev-core.html - FRTB Core test ../ test dev/dev-extensions.html - Extending the Accelerator test ../ test dev/dev-tools.html - Configuring Accelerator tools and methodologies test ../ test interpret-impl.html FRTB Accelerator Interpretation and Implementation of BCBS 457 test ../ test pdf-guides.html PDF Guides test ../ test glossary.html Glossary DRC non-Sec Gross JTD drc_sa Description The instruments gross JTD Reference [MAR22.11] Formula $$JtD (long) = max(LGD \cdot notional + PL, 0) \\ JtD (short) = min(LGD \cdot notional + PL, 0)$$ 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 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 DRC non-Sec Default Risk Charge DRC non-Sec JTD Weightings