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Assume a portfolio consists of two loans of $1,000 with a correlation between loans of 0. Also, assume the only two outcomes for each loan with equal probability are a loan loss of $8 or $12. Note that the average loss for each position is $10 and the expected loss on the portfolio is $20. Find ULp, the unexpected loss of the portfolio. A. $2.83. B. $0.71. C. $8.00. D. $10.00. |