Suppose that Fl holds two loans with following characteristics: Loans Xi Spread Fees LGD EDF 1 ? 5% 2% ? 5% CORR = -0.4 2 ? 1.65% ? 2% The return on loan 1 is R1 - 10.25%, the risk on loan 2 is 3.8233%, and the return of the portfolio is Rp 9.55%. 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, using Moody's Analytics Portfolio Manager (20 Marks) Suppose that Fi holds two loans with following characteristics: 5% Loans Xi Spread Fees LGDI EDF 1 ? 5% 2% 2 CORR-0.4 2 ? 4% 1.65% ? 296 The return on loan 1 is R 1 - 10.25%, the risk on loan 2 is 3.8233%, and the return of the portfolio is Rp 9.55%. 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, using Moody's Analytics Portfolio Manager (20 Marks) 02