Assume that in case of a term loan of exposure $1.8 million, we have determined that the correlation between the individual facility and the overall portfolio loss is 0.10. Estimate the marginal risk...

Assume that in case of a term loan of exposure $1.8 million, we have determined that the correlation between the individual facility and the overall portfolio loss is 0.10. Estimate the marginal risk contribution of the loan to the total portfolio. What is the link between correlation and portfolio risk?