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Commission Delegated Regulation (EU) 2015/35Show full title
Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 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) (Text with EEA relevance)
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Article 201Variance 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 different 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.
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