drcChart

Generate chart of DRC charge values

Since R2025a

Syntax

drcChart(frtbsaObj)

drcChart(frtbsaObj,Name=Value)

h = drcChart(frtbsaObj,___)

h = drcChart(ax,frtbsaObj,___)

Description

drcChart(frtbsaObj) creates a chart of portfolio default risk capital (DRC) values. For more information on DRC, see Default Risk Capital.

drcChart(frtbsaObj,Name=Value) creates a chart of portfolio DRC values using optional name-value arguments.

h = drcChart(frtbsaObj,___) additionally returns the figure handle h for the DRC chart.

h = drcChart(ax,frtbsaObj,___) creates the DRC chart on the axes specified by ax and returns the figure handle h for the chart.

Examples

Create FRTB-SA Chart for Portfolio Default Risk Capital Charges

Use an frtbsa object and the drcChart function to plot the default risk capital (DRC) charges for each portfolio. FRTB-SA (Standardized Approach for Fundamental Review of Trading Book) is a Basel Committee on Banking Supervision framework for calculating market capital risk requirements. This framework is based on a set of standardized risk factors.

Create frtbsa Object

Use bank format to display numeric data using two decimal places.

format bank

Define the ISDA® FRTB-SA CRIF file.

FRTBSACRIF = "FRTBSA_CRIF.csv";

Define the DRC reference date.

DrcRefCOBDate = datetime(2023,9,21);

Use frtbsa to create the FRTB-SA object.

myFRTBSA = frtbsa(FRTBSACRIF,DRCValuationDate=DrcRefCOBDate)

myFRTBSA = 
  frtbsa with properties:

                CRIF: [159×18 table]
       NumPortfolios: 2.00
        PortfolioIDs: [2×1 string]
          Portfolios: [2×1 frtbsa.Portfolio]
          Regulation: "Basel"
    DomesticCurrency: "USD"
    DRCValuationDate: 21-Sep-2023
         NumDaysYear: 365.00

Generate DRC Charts

To plot the total portfolio DRC charges, use drcChart with the Style name-value argument set to "final".

drcChart(myFRTBSA,Style="final")

To plot the breakdown of the DRC charge components, use drcChart with the Style name-value argument set to "component".

drcChart(myFRTBSA,Style="component")

To plot the breakdown of the DRC charge components for a subset of portfolios using the IDs name-value argument, use drcChart with the Style name-value argument set to "component".

drcChart(myFRTBSA,Style ="component",IDs="P1")

Input Arguments

frtbsaObj — FRTB-SA object

object

FRTB-SA object, specified as an frtbsa object. You create an frtbsa object using frtbsa.

Data Types: object

ax — Valid axes object in which to display DRC chart

ax object

(Optional) Valid axes object in which to display the DRC chart specified as an ax object that you create using axes. The DRC chart is created on the axes specified by the optional ax argument instead of on the current axes (gca). The optional argument ax can precede any of the input argument combinations.

Data Types: object

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: drcChart(mySACCR,Style="final")

Style — Style of DRC bar chart

"final" (default) | string

Style of DRC bar chart, specified as a scalar string with one of the following values:

• "final" — Plot the bar chart for the final total of DRC charge values.

• "component" — Stack the bar graphs displaying the breakdown of DRC charge by its components: SNC and NS.

Data Types: string

IDs — List of portfolio IDs to plot

plot all portfolios (default) | string vector

List of portfolio IDs to plot, specified as a scalar string or string vector.

Data Types: string

Parent — Scalar parent in which to plot

[] (default) | Axes object

Scalar parent in which to plot, specified as an Axes object using ax.

Data Types: object

Output Arguments

h — Figure handle for the DRC chart

handle object

Figure handle for the DRC chart, returned as a handle object. You can use h to access and change the properties of the chart.

References

[1] Bank for International Settlements. "MAR21 — Standardised Approach: Sensitivities-Based Method." March 2020. https://www.bis.org/basel_framework/chapter/MAR/21.htm.

[2] Bank for International Settlements. "MAR22 — Standardised Approach: Default Risk Capital Requirement." March 2020. https://www.bis.org/basel_framework/chapter/MAR/22.htm.

[3] Bank for International Settlements. "MAR23 — Standardised Approach: Residual Risk Add-On." March 2020. https://www.bis.org/basel_framework/chapter/MAR/23.htm.

[4] Bank for International Settlements. "CRE42 — Securitisation: External-Ratings-Based Approach (SEC-ERBA)." January 2023. https://www.bis.org/basel_framework/chapter/CRE/42.htm.

[5] Bank for International Settlements. "Basel Committee on Banking Supervision: Minimum Capital Requirements for Market Risk." January 2019. https://www.bis.org/bcbs/publ/d457.pdf.

Version History

Introduced in R2025a