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Portfolio Risk Charge

sbm
Description Standardized approach capital requirement as if all positions were under SA approach, sums SBM, DRC SA and RRAO
Variations
Formula $$\text{Portfolio Risk Charge} = SBM + RRAO + DRC_{sa}$$

note

The Portfolio Risk Charge measure is evaluated with offsetting between IRT and non-IRT desks. For standalone evaluation of IRT and non-IRT desks, use the SA measure or add the IRT Desk hierarchy to the query.

See also