A bank has two $10 million one-year loans. The probabilities of default are as indicated in the following table. Outcome Probability Neither loan defaults 95% Loan 1 defaults; Loan 2 does not default 2.5% Loan 2 defaults; Loan 1 does not default 2.5% Both loans default 0% If a default occurs, all losses between 50% and 100% of the principal are equally likely. If the loan does not default, a profit of $0.5 million is made. What is the bank's one-year 97.5% VaR? O a. 7.0 million O b. 7.5 million O c. 8.0 million O d. 5.8 million