Individual approach (by risk class) | Integrated approach | ||||
A | B | C | A + B + C | B + C | |
(n, k) | |||||
Confidence level | (150, 0) | (500, 1) | (350, 2) | (1000, 3) | (850, 3) |
50% | 0.46% | 0.34% | 0.76% | 0.37% | 0.43% |
75% | 0.92% | 0.54% | 1.12% | 0.51% | 0.60% |
90% | 1.53% | 0.78% | 1.52% | 0.67% | 0.79% |
95% | 2.00% | 0.95% | 1.80% | 0.78% | 0.91% |
Empirical default rate (k/n) | 0.00% | 0.20% | 0.57% | 0.30% | 0.35% |