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5. Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loss to FI Expected Default Loan Rate and FI's Annual

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5. Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loss to FI Expected Default Loan Rate and FI's Annual Given Loan Cost of Funds Fees Default Frequency X 0.60 1 5.0% 2.0% 25% 3% 2 0.40 4.5 1.5 20 2 Calculate of the return and risk on the two-asset portfolio using Moody's Analytics Portfolio Manager. P12= -0.25 5. Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loss to FI Expected Default Loan Rate and FI's Annual Given Loan Cost of Funds Fees Default Frequency X 0.60 1 5.0% 2.0% 25% 3% 2 0.40 4.5 1.5 20 2 Calculate of the return and risk on the two-asset portfolio using Moody's Analytics Portfolio Manager. P12= -0.25

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