1. Capital/FRTB

FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)

Slides
  1. Slides
  2. Default Risk Charge

Default Risk Charge

  • 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).