Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

Table 3

Standard deviations of the default probabilities.

Portfolio		Loss level (percentage)
		0.05%	0.09%	0.13%	0.23%	0.50%
Real Estate	𝑃^∗	0.153%	0.141%	0.133%	0.120%	1.163E-004
	Std.∗	3.5𝐸−004	3.1𝐸−004	2.3𝐸−004	1.7𝐸−004	1.05𝐸−005
Financial Industry	𝑃	1.32%	1.28%	1.21%	0.71%	0.14%
	Std.	6.81𝐸−003	6.77𝐸−003	5.47𝐸−003	7.6𝐸−004	2.21𝐸−005
Machinery	𝑃	8.73𝐸−004	8.69𝐸−004	8.04𝐸−004	6.27𝐸−004	3.245𝐸−005
	Std.	2.17𝐸−004	3.16𝐸−004	2.81𝐸−004	2.11𝐸−004	6.22𝐸−006

∗(1) 𝑃 represents the default probability of each portfolio.
(2) Std. represents the standard deviation of each calculation.