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%

0.69%

0.53%

1.11%

0.58%

0.67%

75%

1.66%

1.14%

2.20%

1.18%

1.35%

90%

3.28%

2.13%

3.81%

2.10%

2.38%

95%

4.71%

3.01%

5.16%

2.89%

3.26%

Empirical default rate (k/n)

0.00%

0.20%

0.57%

0.30%

0.35%