In examining some of the features of a two-asset credit portfolio, consisting of
two correlated credits, credit A and credit B, let the following notation be given:
1 RCA, RCBis the risk contribution of credit A and credit B, repectively.

2ELP, ELA, ELBis the expected loss of a portfolio consisting of credits A and
B, credit A, and credit B, respectively.
3ULP, ULA, ULBis the unexpected loss of a portfolio consisting of credits A
and B, credit A, and credit B, respectively.

Using the notation above and assuming that the two assets’ defaults are correlated,
which of the following equations is correct?
A.  ELP= ELA+ELB
B.  ULP=ULA+ULB
C.  ULP>RCA+RCB
D.  RCA+RCB> ULA+ULB

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