You are the credit risk manager for Bank Happy. Bank Happy holds Treasuries for USD 500 million one large loan that has a positive probability of default
for USD 400 million and another loan that has a positive probability of default for USD 100 million. The defaults are uncorrelated. The bank computes a
credit VAR at 1% using Credit Risk+. Which of the following statements made about the VAR by the analyst who works for you is necessarily wrong?
A. The VAR or WCL can be equal to zero.
B. The expected loss on the portfolio exceeds the VAR.
C. The expected loss on the portfolio is necessarily smaller than the VAR.