Article 201
Variance of the loss distribution of type 1 exposures
1.
The variance of the loss distribution of type 1 exposures as referred to in paragraph 4 of Article 200 shall be equal to the sum of Vinter
and Vintra
.
2.
Vinter shall be equal to the following:
where:
(a)
the sum covers all possible combinations (j,k) of probabilities of default on single name exposures in accordance with Article 199;
(b)
TLGDj and TLGDk denote the sum of losses -given- default on type 1 exposures from counterparties bearing a probability of default PDj and PDk respectively.
3.
Vintra shall be equal to the following:
where:
(a)
the first sum covers all different probabilities of default on single name exposures in accordance with Article 199;
(b)
the second sum covers all single name exposures that have a probability of default equal to PDj ;
(c)
LGDi denotes the loss-given-default on the single name exposure i.