Standardised Loss Factors

There is a missing value in Table 5.3.13 (ARR2016, Book 5, Chapter 3.6.1).  The correct values are shown below with the missing value in bold.  These are taken from v6.32 of RORB, from the dialogue ‘Monte-Carlo Initial Loss Distribution’.

Percentile Standardised ILs Standardised CL
0 3.19 3.85
10 2.26 2.48
20 1.71 1.88
30 1.40 1.50
40 1.20 1.24
50 1.00 1.00
60 0.85 0.79
70 0.68 0.61
80 0.53 0.48
90 0.39 0.35
100 0.14 0.15