Question 6 (15 points) Homogenous portfolio of 100,000 loans, independent defaults, the same exposure L=1000, probability of default for each loan = 7 percent, recovery rate = 55 percent. Consider diversity scores: D= 100, 200, 300, ...5000 For each diversity score D Calculate the expected loss EL at 99 percent confidence CVaR at 99 percent confidence level Make plots of EL and CVaR vs diversity score Question 6 (15 points) Homogenous portfolio of 100,000 loans, independent defaults, the same exposure L=1000, probability of default for each loan = 7 percent, recovery rate = 55 percent. Consider diversity scores: D= 100, 200, 300, ...5000 For each diversity score D Calculate the expected loss EL at 99 percent confidence CVaR at 99 percent confidence level Make plots of EL and CVaR vs diversity score