A risk analyst at a bank is estimating the distribution of credit losses for a portfolio of 30 identical loan exposures. The analyst assumes that the credit losses follow a binomial distribution. Each loan has the following characteristics:

• Amount: SGD 500,000

• Probability of default: 4%

• Recovery rate: 30%

• Average pairwise default correlation: 0.4

What is the standard deviation of losses on the loan portfolio expressed as a percentage of the size of the portfolio?