Article 228
Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method
Under the IRB Approach, institutions shall use the effective LGD (LGD*) as the LGD for the purposes of Chapter 3. Institutions shall calculate LGD* as follows:
where:
= |
the LGD that would apply to the exposure under Chapter 3 where the exposure was not collateralised; |
E |
= |
the exposure value in accordance with Article 223(3); |
E* |
= |
the fully adjusted exposure value in accordance with Article 223(5). |