1.00% 
0.50% 
23% 
29% 
Example from WTT 
1.00% 
2.40% 
20% 
25% 
GG: Mean 2.4% expected loss 
0.50% 
2.40% 
16% 
19% 

0.20% 
2.40% 
12% 
14% 

0.10% 
2.40% 
10% 
11% 

0.05% 
2.40% 
8% 
9% 
A rating: 0.05% prob of default 
0.02% 
2.40% 
6% 
7% 
AA rating: 0.02% prob of default 
0.01% 
2.40% 
5% 
6% 

1.00% 
1% 
22% 
27% 
assuming 1% prob of loss (i.e., low prob) 
0.10% 
1% 
11% 
13% 

0.01% 
1% 
6% 
6% 

1.00% 
0.40% 
23% 
30% 
assuming 1/250 event (i.e., very low prob) 
0.10% 
0.40% 
12% 
14% 

0.01% 
0.40% 
7% 
7% 

1.00% 
4% 
19% 
23% 
assuming 4% prob of loss (i.e., quite high prob) 
0.10% 
4% 
9% 
10% 

0.01% 
4% 
5% 
5% 

1.00% 
8% 
17% 
21% 
assuming 8% prob of loss (i.e., very high prob) 
0.10% 
8% 
8% 
9% 

0.01% 
8% 
4% 
5% 
