K = LGD × Φ[√(1−R)¹ × Φ¹(PD) + √(R/(1−R)) × Φ¹(0.999)] − PD × LGD RWA = K × 12.5 × EAD R = 0.12 × (1 − e^−50·PD) / (1 − e⁻⁵⁰) + 0.24 × [1 − (1 − e^−50·PD) / (1 − e⁻⁵⁰)] b = (0.11852 − 0.05478 × ln(PD))² MA = (1 + (M − 2.5) × b) / (1 − 1.5 × b) Φ(x) = ½[1 + erf(x/√2)] EL = PD × LGD RW = K × 12.5 × MA CCF × Off-Balance = EAD SA: RWA = EAD × RW% Φ¹(PD) N[(1−R)^−0.5 × G(PD)]