Variance of the loss distribution of type 1 exposures
Article 201
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 V inter and V intra . 2. V inter shall be equal to the following: where: (a) the sum covers all possible combinations ( j , k ) of different probabilities of default on single name exposures in accordance with Article 199; (b) TLGD j and TLGD k denote the sum of losses -given- default on type 1 exposures from counterparties bearing a probability of default PDj and PDk respectively. 3. V intra 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 PD j ; (c) LGD i denotes the loss-given-default on the single name exposure i .