Hi
How could I determine the RWA amount for defaulted exposures under the FIRB approach?
Under AIRB approach, the calculation considers the BestEstimate_LGD, like this:
RWA = 12.5 x EAD x (LGD - BestEstimated_LGD) - I understood that this formula applies only for AIRB, because under the FIRB approach we do not determine internally this factor. Is it right ?
How could I determine the RWA amount for defaulted exposures under the FIRB approach?
Under AIRB approach, the calculation considers the BestEstimate_LGD, like this:
RWA = 12.5 x EAD x (LGD - BestEstimated_LGD) - I understood that this formula applies only for AIRB, because under the FIRB approach we do not determine internally this factor. Is it right ?
