Credit Risk -How to calculate individual unexpected loss and portfoilo unexpected loss?

Suppose I have portfoilo of 4 borrowers. I have borrowerwise EAD (Exposure at default), LGD (Loss Given Default) and (PD) Probability of Default.

Suppose the said figures for the first borrower are as given below -

EAD = 100,000, LGD = 0.45 and PD = 0.10. Then the loss is 100,000 * 0.45 = 45,000.

Expected loss for this borrower is EL = 45,000*0.10 = 4,500 and the unexpected loss is (loss^2)*PD - (EL)^2 = 13,500.

The problem is how do I calculate the unexpected loss for the portfolio assuming the borrowers are not independent i.e. correlation exists between them? Also, how do I calculate the regular Value at risk and the diversified VaR at 99%?

Suppose my data  is as given below :

Borrower           EAD                     LGD                         PD

Borrower 1        100,000               0.45                      0.10

Borrower 2        150,000               0.45                      0.10

Borrower 3        300,000               0.45                      0.05

Borrower 4        500,000               0.45                      0.01

Correlation matrix

                         Borrow 1         Borrow 2       Borrow 3        Borrow 4  

Borrower 1            1            0.011           -0.029           0.047

Borrower 2         0.011            1               0.065           0.038

Borrower 3       -0.029          0.065              1               0.011

Borrower 4        0.047          0.038            0.011               1

 

Please guide me?

Thanking in advance

Maithreyi