Question: Consider the Gaussian Latent Variable Model. Calculate the unconditional (total) loss distribution of a homogenous independent portfolio of= 100credits, where the unconditional default probability is

Consider the Gaussian Latent Variable Model. Calculate the unconditional (total) loss distribution of a homogenous independent portfolio of= 100credits, where the unconditional default probability is 4%,= 40%and= 40%. You will need to calculate the conditional loss distribution using the binomial distribution, then integrate over Z. Repeat the calculations for= 0%and= 20%. Compare and comment the results.

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