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

1.87%

1.51%

2.64%

1.62%

1.80%

(matching percentile)

66.73

65.16

63.50

64.04

64.14

Standard deviation

2.21%

1.55%

2.34%

1.49%

1.64%

Coefficient of skewness

2.66

2.42

2.03

2.16

2.12