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

0.67%

0.40%

0.85%

0.40%

0.47%

(matching percentile)

63.59

61.70

57.41

53.46

58.90

Standard deviation

0.65%

0.28%

0.49%

0.20%

0.23%

Coefficient of skewness

1.96

1.41

1.14

0.99

0.99