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 |