Delta and Vega Sensitivities Using Finite Shifts
- Default Risk Charge
Residual Risk Add-On
Risk Weights and Correlations for GIRR
Risk Weights and Correlations for FX
Regulatory and internal model validation services from CompatibL
- The default risk charge (DRC) is intended to capture jump-to-default-risk.
- There are three types of DRC:
- Default Risk Charge for non-securitizations;
- Default Risk Charge for securitizations (non-correlation trading portfolio);
- Default Risk Charge for securitizations (correlation trading portfolio).