Suppose that an FI holds two loans with the following characteristics.

The return on loan $1$ is $R_1=6\mathrm{.}25\%,$ the risk on loan $2$ is ${}_2=1\mathrm{.}8233\%,$ and the return of the

portfolio is $R_p=4\mathrm{.}555\%.$ Calculate of the loss given default on loans $1$ and $2,$ the proportions

of loans $1$ and $2$ in the portfolio, and the risk of the portfolio, ${}_p,$ using Moody's Analytics RiskFrontier.