I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%.

But Google searches return nothing and I can't seem to find any references to it in the accord document?

Is this true and where is it mentioned in the accord?

  • $\begingroup$ what does PD mean ? $\endgroup$ – Probilitator Mar 14 '14 at 8:37
  • $\begingroup$ @Probilitator: I would guess "probability of default". $\endgroup$ – Joshua Ulrich Mar 23 '14 at 14:22

From the Basel II accord:

  1. For corporate and bank exposures, the PD is the greater of the one-year PD associated with the internal borrower grade to which that exposure is assigned, or 0.03%.

So it is 0.03%


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