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On the securitization tab, how do we calculate risk-weighted assets (RWA) post credit risk mitigation (column P) for securitization exposures benefiting from guarantees?

April 26, 2017assets CALCULATE credit mitigation risk risk-weighted RWA securitization Tab

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On the securitization tab, how do we calculate risk-weighted assets (RWA) post credit risk mitigation (column P) for securitization exposures benefiting from guarantees?

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(December 21, 2004) Answer: As per the QIS-4 instructions, use the probability of default (PD) and loss given default (LGD) of the guarantor.