Suppose that a bank has a made a large number of loans of certain type. The one-year probability of default on each loan is 1%. The bank uses a Gaussian copula for time to default. It is interested in estimating a 99.97% worst case for the percentage of loans that default on the portfolio. Compute the worst-case default rate, assume the copula correlation is 0.10. a. 2.59% b. 6.04% c. 27.08% d. 11.85%