(ii)

if 0 < PD < 1, i.e., for any possible value for PD other than under (i) RW = (LGD · N((1 / 1 – R) · G(PD) + (R / 1 – R) · G(0.999)) – LGD · PD) · 12,5 · 1,06 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 R = 0.03 · (1 – e^(– 35 · PD) / 1 – e^(– 35)) + 0.16 · (1 – (1 – e^(– 35 · PD) / 1 – e^(– 35)))

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.