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% |