| 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_sa
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.