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Suppose that a bank has a portfolio with 50,000 loans, and each loan is USD 1 million with a 1.1% PD in a year. The recovery rate is 40% and the correlation between loans is 0.2. Assume that L=1. The standard deviation of the loss on a loan is closest to?
A
0.01100
B
0.01088
C
0.04172
D
0.06258