Article 154 › 1

The risk-weighted exposure amounts for retail exposures shall be calculated according to the following formulae: where the risk weight RW is defined as follows: (i) if PD = 1, i.e., for defaulted exposures, RW shall be ; where ELBE shall be the institution's best estimate of expected loss for the defaulted exposure in accordance with Article 181(1)(h); (ii) if 0 < PD < 1, i.e., for any possible value for PD other than under (i) 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) the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x) = z); R the coefficient of correlation defined as

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