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DRC non-Sec Default Risk Charge
Description |
The total capital charge for default risk non-securitisations as if all positions were under SA |
Variations |
|
Reference |
[MAR22.26] |
Notation |
DRC |
Formula |
DRC=∑b∈BucketsDRCb, DRCb=max[(∑i∈LongRWi⋅netJtDi)−HBR⋅(∑i∈ShortRWi⋅|netJtDi|);0] |
See also