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

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Suppose that a bank has made a large number of loans of a certain type. The one‐year probability of default on each loan is 1.2%. The bank uses a Gaussian copula for time to default. It is interested in estimating a 99.97% worst case for the percent of loans that default on the portfolio. Show how this varies with the copula correlation.

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