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%

1.52%

0.78%

1.51%

0.67%

0.78%

95%

1.98%

0.95%

1.79%

0.77%

0.91%

Empirical default rate (k/n)

0.00%

0.20%

0.57%

0.30%

0.35%