Question: please do it ASAP... I'll give you up thumb definitely A bank's loan book consists of three loans with the below parameter. What is the

please do it ASAP... I'll give you up thumb definitely A

please do it ASAP... I'll give you up thumb definitely

A bank's loan book consists of three loans with the below parameter. What is the 99% Worst Case Default Rate? Loan 1 o PD: 2% o Default correlation: 10% o EAD: 20 Mio. o LGD: 30 % Loan 2 o PD: 5% o Default correlation: 15% O EAD: 10 Mio. o LGD: 20% Loan 3 o PD: 3% o Default correlation: 20% o EAD: 50 Mio. o LGD: 10 %

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