Q.3683 A bank has booked a loan with a total commitment amounting to $100,000. 80% of this amount is currently outstanding. The default probability of the loan is assumed to be 2% for the next year, and the loss-given default (LGD) stands at 40%. The standard deviation of LGD is 30%, and the standard deviation of the probability of default is 14%. Drawdown on default (i.e., the fraction of the undrawn loan) is assumed to be 70%. Determine the expected and unexpected losses for the bank.