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I'm also having a difficult time reconciling the ULC / RC formula (as provided in Schroeck) with the actual practice question solution in the credit risk focus study. Formula Solution in focus review - I don't see where the circled values are appearing in this formula above. Any insight...

The provided ULportfolio formula doesn't seem to align with the formula used in the example. Appears the example used weight-squared values for each individual UL but the currency formula doesn't mention the weights, much less weights squared. Assuming I'm missing something obvious here...

Very useful. Thank you for your very thorough response, and the time you invested in this.

This explanation seems at odds with the concept that Banks securitize to move these assets off their balance sheets. How do banks grow their loan books when they securitize, at the same time that this process removes these assets from their balance sheet? My embryonic understanding at this...

The addition of this illustration totally made this make sense. Thank you David!

Excellent. Thank you.

What does this Pt-1 represent? It isn't used in the actual calculation below.