+Article 153 1.

Article 153 1.

►M17  Subject to the application of the specific treatments laid down in paragraphs 2 and 4, the risk-weighted exposure amounts for exposures to central governments and central banks, exposures to regional governments, local authorities and public sector entities, exposures to institutions and exposures to corporates shall be calculated according to the following formulae: ◄

Risk – weighted exposure amount = RW · exposure value

where the risk weight RW is defined as

(i) 

if PD = 0, RW shall be 0;

(ii) 

if PD = 1, i.e., for defaulted exposures:

— 
where institutions apply the LGD values set out in Article 161(1), RW shall be 0;
— 
where institutions use own estimates of LGDs, RW shall be

image

;

where the expected loss best estimate (hereinafter referred to as ‘ELBE ’) shall be the institution's best estimate of expected loss for the defaulted exposure in accordance with Article 181(1)(h);

▼M17

(iii) 

if 0 < PD < 1, then:

image

where:

N

= the cumulative distribution function for a standard normal random variable, i.e. N(x) equals the probability that a normal random variable with mean of 0 and variance of 1, is less than or equal to x;

G

= the inverse cumulative distribution function for a standard normal random variable, i.e. if x = G(z), x is the value such that N(x) = z;

R

= the coefficient of correlation, which is defined as:

image

b

= the maturity adjustment factor, which is defined as:

b = [0,11852 – 0,05478 ‏‏‏· ln(PD)]2 ;

M

= the maturity, expressed in years and determined in accordance with Article 162.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards
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