It is not a “type” thing, it *is* the standard deviation computed directly from the distribution.

The signature of the function is:

Vasicek Base Distribution Unexpected Loss:

- param N: The number of entities in the portfolio
- param p: The probability of default (of each entity in the portfolio, assumed homogeneous in the Vasicek model)
- param rho: The asset correlation (not needed here)

When you insert quantile figures such 0.99 or 0.95 in this function you are not using it correctly as it does not produce a distribution, it only produces a statistical moment of a distribution.

If you want to obtain an estimate of stressed defaults based on standard deviation you would do it something like this:

SD = EL + a * UL

where SD is stressed number of defaults, EL is the expected number of defaults and UL is the standard deviation of default and *a* is the number of standard deviations (2, 3 etc).

This approach used to be called the “poor man’s economic capital”. Namely it is an easy way to get an estimate of “tail losses” (losses that will only happen in a more stresseful scenario) by estimating average and standard deviation of losses over a historical period. *The choice of a is by convention (and by analogy with the quantiles of the normal distribution) but it does not imply we assume a normal.*