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 |