D2. Assume that the economy can experience high growth, normal growth, or recession. Under these conditions you expect the following returns on corporate lending for the coming year: State of the Economy ProbabilityReturn High Growth Normal Growth Recession 0.4 0.5 0.1 +15% +6% -10% a) What is the expected value of a $1bn loan book over the coming year? b) What is the expected % return on this loan book? c) What is the standard deviation (risk) of the % return? d) If the risk-free return is 2%, what is the risk premium for corporate lending? e) Would a risk-neutral investor choose to lend? Briefly explain your reason