DRC non-Sec Net JTD Short

For each obligor, represented by [Default Risk Charge].[DRC Obligor] for seniorities S1 > S2 > S3 > … > Sn, for example, Senior > Junior > Equity, represented by [Default Risk Charge].[DRC Seniority] let SumSi be the aggregated DRC non-Sec Scaled Gross JTD over the Si senority (for the obligor), then:

DRC non-Sec Net JTD Short = min(min(min( … (min(SumSn, 0) … ) + SumS3, 0) + SumS2, 0) + SumS1, 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 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 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