Consider a portfolio consisting of $10 million in Mircosoft and $5 million in AT&T. Assume

1) the returns of AT&T and Microsoft are bivariate normal and the correlation between the returns is +1.0,

2) the daily standard deviations of Microsoft and AT&T are respectively 2% and 1%,

3) we consider 10 days investment and 99% confidence interval (2.326 standard deviations),

What is the incremental effect on VaR when a trader holds both of them in a portfolio?

a. about $218,995

b. $0

c. about $1,838,865