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Consider a $300m portfolio comprising 50 unsecured corporate loans. Assuming individual exposures default with probability 3% and LGD=25% and EAD=100% a) Derive the mean and

Consider a $300m portfolio comprising 50 unsecured corporate loans. Assuming individual exposures default with probability 3% and LGD=25% and EAD=100% a) Derive the mean and standard deviation of portfolio loss assuming loans default independently. b) Construct the portfolio loss distribution [Hint: use a normal distribution] c) Derive portfolio VaR and economic capital at the 99th percentile level

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