| 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% |
|