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

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7. 3) Suppose that an FI holds two loans with the following characteristics. Annual Expected Default Loss to FI Spread between Loan Rate and FI's AnnualGiven LoanCos of FesDefauit -XL Frequency 5.5% 3.5 30% 20 3.5% 1.0 P12 -0.15 2.25% 1.75 2 0.55 Calculate of the return and risk on the two-asset portfolio using Moody's Analytics Portfolio Manager

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