For capital requirement, rwa is computed as a product of terms including a K (unexpected losses).
(As shown is the summary from wikipedia :
K is equal to (total loss - expected loss)×maturity adjustment.
Where maturity adjustment is defined as
I read some explanation for (total loss - expected loss) part that is coming the formula of a Merton conditional probability of dzfault. However I have no idea what is that formula for maturity adjustment. the b value (0.11852-0.05478ln(PD))^2 is also un-understood.
Is there any article proving these formulas, or explaining the rationale for their forms ? Their hard-coded values ?
Many thanks in advance