The Default Risk Charge calculation requires extensive supporting data which must be sourced or calculated outside the Vector Risk system and imported with a "LoadDefaultRisk" task.

A csv Header file (shown below) can be exported which provides the load format. Instructions for exporting the header file are in the section Loading CSV data.

Row Type	Field Name	Allowed Values
ObligorPD	ObligorPD	Identifies the row type as an obligor probability of default row
	Name	Name of the obligor
	ProbDef60Days	Probability of default in 60 days
	ProbDef1Year	Probability of default in 1 year
	CoveredLgd	Loss given default for covered bonds
	SeniorLgd	Loss given default for senior debt
	SubordinateLgd	Loss given default for subordinated debt or stock
ObligorBeta	ObligorBeta	Identifies the row type as an obligor's beta to an industry or region
	IndustryOrRegionName	The name of the industry or region
	Value	The beta value [0-1]
DefaultStatistic	DefaultStatistic	Identifies the row type as a default statistic row
	Group	Name of the obligor, industry or region
	Mean	Mean of the group
	Volatility	Volatility of the group
DefaultCorrelation	DefaultCorrelation	Identifies the row type as a correlation row. Correlations must be supplied for obligor pairs and for industry/region pairs.
	Name1	Name of the first obligor or industry/region
	Name2	Name of the second obligor or industry/region
	Correlation	The correlation of default for the pair
BusinessUnitJTD	BusinessUnitJTD	Identifies the row type as a jump-to-default row.
	BusinessUnit	Name of the business unit this JTD belongs to
	Currency	Currency of the JTD value
	JTD	JTD value (a negative number represents a JTD profit)
	JTDNonEquity	JTD value excluding equities (a negative number represents a JTD profit)

Note: The "jump-to-default" (JTD) data can be calculated in the system or loaded from an external source. For the system to generate JTD the Default Risk Charge task must have a dependency on a task of type Sensitivity Generation which includes the ability to generate jump to default data on trades. This task must be configured to run against the subset of desks which are tagged as internal desks in the business unit hierarchy.