Loan-No. j

1

2

3

4

Exposure w_j

1234

9750

4698

2135

Probability

Loss

Probability of Default p_j

0.10

0.03

0.02

0.05

f_i

d_i

Scenario Matrix

0

0

0

0

0.8128

0

0

0

0

1

0.0428

2135

0

0

1

0

0.0166

4698

0

0

1

1

0.0009

6833

0

1

0

0

0.0251

9750

0

1

0

1

0.0013

11,885

0

1

1

0

0.0005

14,448

0

1

1

1

0.0000

16,583

1

0

0

0

0.0903

1234

1

0

0

1

0.0048

3369

1

0

1

0

0.0018

5932

1

0

1

1

0.0001

8067

1

1

0

0

0.0028

10,984

1

1

0

1

0.0001

13,119

1

1

1

0

0.0001

15,682

1

1

1

1

0.0000

17,817