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drc_sa
DescriptionThe total capital charge for default risk non-securitisations as if all positions were under SA
Variationsincremental, pro_rata, euler, netted, reported
Reference[MAR22.26]
NotationDRCDRC
FormulaDRC=∑b∈BucketsDRCb\displaystyle DRC = \sum_{b \in \text{Buckets}} DRC_b
DRCb=max⁡[(∑i∈LongRWi⋅netJtDi)−HBR⋅(∑i∈ShortRWi⋅∥netJtDi∥);0]\displaystyle DRC_b = \max\left[\left(\sum_{i \in \text{Long}} RW_i \cdot netJtD_i\right) - HBR \cdot \left(\sum_{i \in \text{Short}} RW_i \cdot \|netJtD_i\|\right); 0\right]