Individual approach (by risk class)

Integrated approach

A

B

C

A + B + C

B + C

(n, k)

(150, 0)

(500, 1)

(350, 2)

(1000, 3)

(850, 3)

Empirical default rate (k/n)

0.00%

0.20%

0.57%

0.30%

0.35%

Mean

1.88%

1.52%

2.64%

1.62%

1.80%

(matching percentile)

66.51

65.09

63.37

64.00

64.09

Standard deviation

2.23%

1.56%

2.35%

1.49%

1.64%

Coefficient of skewness

2.67

2.42

2.03

2.16

2.12