Article 155 › 4

Under the internal models approach, the risk weighted exposure amount shall be the potential loss on the institution's equity exposures as derived using internal value-at-risk models subject to the 99th percentile, one-tailed confidence interval of the difference between quarterly returns and an appropriate risk-free rate computed over a long-term sample period, multiplied by 12,5. The risk weighted exposure amounts at the equity portfolio level shall not be less than the total of the sums of the following: (a) the risk weighted exposure amounts required under the PD/LGD Approach; and (b) the corresponding expected loss amounts multiplied by 12,5. The amounts referred to in point (a) and (b) shall be calculated on the basis of the PD values set out in Article 165(1) and the corresponding LGD values set out in Article 165(2). Institutions may recognise unfunded credit protection obtained on an equity position.

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