| Description | The instrument’s gross JTD |
| Reference | [MAR22.11] |
| Formula | JtD(long)=max(LGD⋅notional+PL,0)JtD(short)=min(LGD⋅notional+PL,0) |
Documentation Index
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| Description | The instrument’s gross JTD |
| Reference | [MAR22.11] |
| Formula | JtD(long)=max(LGD⋅notional+PL,0)JtD(short)=min(LGD⋅notional+PL,0) |
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