Article 153 › 1

Subject to the application of the specific treatments laid down in paragraphs 2, 3 and 4, the risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks shall be calculated according to the following formulae: 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 ; 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); (iii) if 0 < PD < 1 where: N(x) 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) R denotes the coefficient of correlation, is defined as b the maturity adjustment factor, which is defined as .

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Source: EUR-Lex CELLAR · retrieved 2026-09-04