The Default Risk Charge is calculated according to MAR22.25 and MAR22.26 from the Weighted Net JTD Long/Short and HBR measures. It is first calculated independently for each bucket, then summed over the buckets. For obligors who have been flagged as high yield and distressed funds, the Default Risk Charge is calculated for those funds on a standalone basis before being included in the sum over the buckets.Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
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