Current value of exposure in LGD comutation under FIRB

[hemmu23]

In the equation LGD* = LGD x (E* / E) it is mentioned that 'E' is the
current value of the exposure (i.e. cash lent or securities lent or
posted).

First query
1) Is the Effective loss given default % (LGD*) dependent on exposure
or a combination of the type of facility and collateralised portion of
facility.

Second query
2) What will be the current value of exposure (E) of a fund based
facility of $ 1 M (e.g. Overdraft) which is 100% undrawn.

 

[ShaktiRathore]

Hi
Visit: https://forum.bionicturtle.com/threads/credit-risk-mitigation-or-lgd-mitigation.62/#post-216
http://www.quora.com/Can-I-use-a-co...GD-in-the-IRB-foundation-approach-of-Basel-II
Thanks