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Article number: 201
1. The variance of the loss distribution of type 1 exposures as referred to in paragraph 4 of Article 200 shall be equal to the sum of V inter and V intra.
2. V inter shall be equal to the following:
V inter= sum (j,k) (PD k*(1-PD k)*PD j*(1-PD j)/(1,25*(PD k+PD j)-PD k*PD j) *TLGD j* TLGD k
where:
(a) the sum covers all possible combinations (j,k) of probabilities of default on single name exposures in accordance with Article 199;
(b) TLGD j and TLGD k denote the sum of losses -given- default on type 1 exposures from counterparties bearing a probability of default PD j and PD k respectively.
3. V intra shall be equal to the following:
V intra= sum j 1,5*PD j*(1-PD j)/2,5-PD j *sum PD j (LGD^2 i)
where:
(a) the first sum covers all different probabilities of default on single name exposures in accordance with Article 199;
(b) the second sum covers all single name exposures that have a probability of default equal to PD j;
(c) LGD i denotes the loss-given-default on the single name exposure i.
Metadata
RULEBOOK TOPIC: SUBSECTION 2 - Type 1 exposures
RULEBOOK CATEGORY: DELEGATED REGULATION (EU) 2015/35
Last update on: 12 Jul 2024