+Article 259 6.
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Article 259 6.
Where the share of the largest underlying exposure in the pool (C1) is no more than 3 %, institutions may use the following simplified method to calculate N and the exposure-weighted average LGDs:
LGD = 0,50
where
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Cm
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denotes the share of the pool corresponding to the sum of the largest m exposures; and
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m
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is set by the institution.
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If only C1 is available and this amount is no more than 0,03, then the institution may set LGD as 0,50 and N as 1/C1.
1. Übersicht
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Regulierung |
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1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
| Quelle |
Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
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