Delegated Regulation (EU) 2015/35 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II)
Article 201 Variance of the loss distribution of type 1 exposures
Geldend
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.