10.

Subject to points 12 and 13, the risk weighted exposure amounts for retail exposures shall be calculated according to the following formulae: Correlation (R) = 0.03 × (1 - EXP(-35^(*)PD)) / (1 - EXP(-35)) + 0.16^(*)1 - (1 - EXP-35^(*)PD) / (1 - EXP(-35)) Risk weighted(RW) (LGD^(*) N(1-R)^(-0.5)G(PD)+(R/(1-R))^(0.5)G(0.999)-PD^(*)12.5^(*)1.06) N(x) denotes the cumulative distribution function for a standard normal random variable (i.e. the probability that a normal random variable with mean zero and variance of one is less than or equal to x). G (Z) denotes the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x)= z). For PD = 1 (defaulted exposure), RW shall be Max {0, 12.5 *(LGD-EL_(BE))}, where EL_(BE) shall be the credit institution's best estimate of expected loss for the defaulted exposure according to point 80 of Part 4. Risk—weighted exposure amount = RW * exposure value.

← 1.2. Risk weighted exposure amounts for retail exposures · All articles · anx_VII__cpt_1__cpt_1__cpt_2__point_10__text_1 →

Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.