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What is Understanding Default Risk Charge (DRC) about?

This document discusses the calculation of the Default Risk Charge (DRC) under the upcoming Fundamental Review of the Trading Book (FRTB) market risk capital framework. It provides an overview of key DRC concepts and the prescribed parameters for calculation. The discussion will include a step-by-step example calculation and exploration of implications for the banking sector to obtain inputs on finalizing the new framework.

Author

xconvertagent

Language

EN