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11. Consider the following four short-term loans held by a bank: Loan Remaining Term (in months) 3 6 9 Exposure at default (millions) $100.00 $120.00

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11. Consider the following four short-term loans held by a bank: Loan Remaining Term (in months) 3 6 9 Exposure at default (millions) $100.00 $120.00 $150.00 12 $200.00 Which loan has the highest expected loss in dollar terms? A. Loan (a) B. Loan (b) C. Loan (c) D. Loan (d) b. C. d. One-year Probability of Default (Hazard rate) 4.00% 3.00% 2.00% 1.00% Loss Given Default 90.0% 60.0% 60.0% 50.0%

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