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Suppose that a bank has a large portfolio of car loans. The one-year probability of default on each loan is 4%. The bank uses Vasicek's

Suppose that a bank has a large portfolio of car loans. The one-year probability of default on each loan is 4%. The bank uses Vasicek's formula and is interested in estimating a "99.95% worst case" for the percentage of loans that could default in the portfolio in one year. Show how this estimate varies with the copula correlation, letting =0 to 0.5 in steps of 0.1.

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