Suppose that Bank C holds two loans with the following characteristics. Weights Loan Cost Fees Loss Expected interest of given default rate fund default frequency Loan? 0.18 0.05 0.04 ? 0.15 A Loan? 0.125 0.05 0.015? 0.08 B The expected return on loan A is 11%, the risk (in standard deviation) of the loan B is 5.426%, the correlation between the expected returns of the two loans is 0.15, and the expected return of the loan portfolio is 8.12%. Please calculate the loss given defaults of the two loans, the proportions of the two loans in the loan portfolio, and the risk (in standard deviation) of the loan portfolio using Moody's Analytics Portfolio Manager. Suppose that Bank C holds two loans with the following characteristics. Weights Loan Cost Fees Loss Expected interest of given default rate fund default frequency Loan? 0.18 0.05 0.04 ? 0.15 A Loan? 0.125 0.05 0.015? 0.08 B The expected return on loan A is 11%, the risk (in standard deviation) of the loan B is 5.426%, the correlation between the expected returns of the two loans is 0.15, and the expected return of the loan portfolio is 8.12%. Please calculate the loss given defaults of the two loans, the proportions of the two loans in the loan portfolio, and the risk (in standard deviation) of the loan portfolio using Moody's Analytics Portfolio Manager