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Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

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drc_sa
DescriptionThe default risk charge per SA approach as if all positions are under SA
Variationsincremental, pro_rata, euler
Reference[MAR22.2]
Default Risk Charge = DRC non-Sec Default Risk Charge +DRC Sec non-CTP Default Risk Charge Please note, that this measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under SA. We recommend applying a filter on FRTB Model equal to “SA” to limit the scope to positions officially under the “SA” approach.