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Glossary
DRC non-Sec
Download PDF version of this chapter: FRTB_Impl_DRC_non-Sec_5.2.pdf
This section describes how the DRC non-Sec risk-class is implemented
and how the MAR standard is interpreted.
Also covered here is the specialization of the data, calculations, and configuration for the DRC non-Sec risk-class, including:
The data model , which describes the data used for the calculations and how it is structured, and how the data model is represented in the input files, datastore, and cube.
The calculations , both in the ETL and at query time
The parameters used in the query time calculations