Q-110. Calculate the standard deviation of losses for a portfolio containing two loans with the following characteristics:

• Loan 1: p1 = 2%, L1 = CNY 15 million, R1 = 40%
• Loan 2: p2 = 2%, L2 = CNY 20 million, R2 = 25%
• Correlation between loans: ρ = 0.3