Risk-Weighted Assets for Exposures that are in Default
No: 44047144
Date(g): 27/12/2022 | Date(h): 4/6/1444
Status: In-Force
11.3
The capital requirement (K) for a defaulted exposure is equal to the greater of zero and the difference between its LGD (described in paragraph 16.82) and the bank’s best estimate of expected loss (described in paragraph 16.85). The risk- weighted asset amount for the defaulted exposure is the product of K, 12.5, and the EAD.
