Navigation :
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User & Reference Guide
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Getting started
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- Using this guide
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- What's New
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- Video walk-throughs
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- FRTB Data Model
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- DirectQuery
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Configuration files
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Data Stores
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Database
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Input Data
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Tutorials
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- Data Sanity 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 interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../../../../../../../ test interpret-impl/acr.html
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ACR
test ../../../../../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../../../../../ test interpret-impl/acr/sa/key-measures-sa_frtbonly.html
--- Key SA Measures
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---
SA DRC
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----
DRC non-Sec
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/interpretation-note.html
----- Interpretation Note
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core.html
-----
Data Model (Core)
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-----
Calculations
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/etl.html
------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core.html
------
Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/gross-jtd.html
------- Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/scaled-gross-jtd.html
------- Scaled Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/net-jtd.html
------- Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/hbr.html
------- HBR
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/risk-weight.html
------- Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/weighted-net-jtd.html
------- Weighted Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/default-risk-charge.html
------- Default Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/configuration-core.html
-----
Configuration (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp.html
----
DRC Sec non-CTP
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SA SBM
test ../../../../../../../ test interpret-impl/acr/ima.html
--
IMA
test ../../../../../../../ test interpret-impl/jurisdictions.html
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Jurisdictions
test ../../../../../../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
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FRTB P&L Attribution Tests and Backtesting
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Analytics Reference
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Developer Guide
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Release and migration notes
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Getting Started
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Configuring the UI
test ../../../../../../../ test dev/dev-ref-impl.html
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FRTB Reference Implementation
test ../../../../../../../ test dev/dev-core.html
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FRTB Core
test ../../../../../../../ test dev/dev-extensions.html
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Extending the Solution
test ../../../../../../../ test dev/dev-tools.html
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Configuring Solution tools and methodologies
test ../../../../../../../ test dev/dev-sign-off.html
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Sign-Off
test ../../../../../../../ test dev/dev-direct-query.html
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DirectQuery
test ../../../../../../../ test limits.html
Limit monitoring
test ../../../../../../../ test sign-off.html
Sign-Off Approvals
test ../../../../../../../ test what-if.html
What-If Analysis
test ../../../../../../../ test pdf-guides.html
PDF Guides
test ../../../../../../../ test glossary.html
Glossary
Default Risk Charge
The Default Risk Charge [MAR22.25] and [MAR22.26] from the Weighted Net JTD Long/Short and HBR measures.
It is first calculated independently for each bucket, then summed over the buckets.
For obligors who have been flagged as high yield and distressed funds, the Default Risk Charge is calculated for those funds on a standalone basis before being included in the sum over the buckets.