In this lecture we try to answer the following question:

Once we have the PD of a counterparty, how can we quantify the capital requirements for credit risk, with respect to that counterparty?

To answer this question we will come back to the F-IRB framework. Hence, if you do not remember what a risk-weight function is, or you have doubts about EAD and LGD, it is time to review the topics of lecture 2.
Similarly, a quick look at lecture 3 can be useful, since we will also speak about C-VaR.

Under the F-IRB approach, once we have the PD, we can compute RWA and capital requirements by plugging the PD into some specific formulas, the so-called risk-weight functions.
In the F-IRB approach, all quantities and formulas are provided by the regulator. The only degree of freedom is represented by the computation of the probability of default.