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Bigger Bank has two assets outstanding. Assuming a correlation of 0.2 between the assets, compute...

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Finance

Bigger Bank has two assets outstanding. Assuming a correlation of 0.2 between the assets, compute ELP and ULP as well as the risk contribution of each asset.

Asset A

Asset B

EA

$1,000,000

$3,000,000

PD

1%

2%

LR

80%

60%

PD

3%

4%

LR

20%

24%

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