Suppose that a bank has made a large number of loans of a certain type.

The total amount lent is $500 million. The one-year probability of default on each loan is 1.5% and the loss when a default occurs is 70% of the amount owed. The bank uses a Gaussian copula for time to default. The copula correlation parameter is 0.2.

Estimate the loss on the portfolio that is not expected to be exceeded with a probability of 99.5%.