Financial Risk Manager Part 2
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A bank's credit risk manager is in the process of determining both the unexpected loss (UL) for an entire loan portfolio and the UL contributed by each individual loan to the total portfolio UL. The loan portfolio consists of several loans that are presumed to have similar characteristics and dimensions. The pairwise default correlation between these loans is consistently 0.32. If the unexpected loss for each individual loan is USD 10,500, how can the contribution of each loan to the overall portfolio UL be estimated?