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A bank has a $50 million portfolio of loans. The probability of each loan defaulting in a year is 1.25%, the recovery rate averages 60%.

A bank has a $50 million portfolio of loans. The probability of each loan defaulting in a year is 1.25%, the recovery rate averages 60%. Show how the one-year 99.5% VaR varies with the copula correlation. Provide a table showing the VaR for copulas correlations of 0, 0.1, 0.20.9

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