Default risk charge

drc_sa


Description	The default risk charge per SA approach as if all positions are under SA
Variations	incremental, 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.