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John Clayburn is trying to parameterize a credit risk model for his employer, Syacmoor Bank. Based on a large sample of loans, he has estimated a default frequency of 12%. John knows that this is a necessary input to calculate the unexpected loss. Which of the following is closest to the standard deviation of Sycamoor’s default frequency? A. 88%. B. 12%. C. 11%. D. 35%. |