Scenario

Systematic

parameter

Sensitivity

factor

Adjusted probabolity

of default

M

s_j

$p_j^{\left(M\right)}$

0.80

0.023

Economic upturn

0.70

1.00

0.021

1.25

0.019

0.80

0.030

Normal case

1.00

1.00

0.030

1.25

0.030

0.80

0.042

Economic downturn

1.50

1.00

0.045

1.25

0.049