EBU Single Rulebook Q&A 9 August 2013 2013_144 IRB Approach
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European Union · · · 29-11-2013
Regarding the IRB approach for the calculation of capital requirements for preventing credit risk, where should the weighting formula be applied? Is it contract by contract, or is it a weighted average of the probability of default (PD) and loss given default (LGD) for each pool and then apply the risk weight formula to this mean?
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