The bank’s trading book consists of the following two assets:

Asset  Annual Return  Volatility of Annual Return  Value

A     10%          25%                     100

B     20%          20%                     50

Correlation (A, B) = 0.2

How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B?

Assume there are 250 trading days in a year.

A. 0.2286

（B. 0.4581）

C. 0.7705