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A portfolio of bonds has a recovery rate of 60% with various probabilities of default, assuming independence, calculate the expected loss. Issuer Exposure Probability of

A portfolio of bonds has a recovery rate of 60% with various probabilities of default, assuming independence, calculate the expected loss.

Issuer	Exposure	Probability of Default
A	1000	20%
B	2000	40%

What is the Standard deviation of the portfolio?

Clue: For computing for variance, consider the RR/LGD in your formula for loss.

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