Each of two investment projects has a probability of 0.03 of a loss of $20 million and a probability of 0.97 of a loss of $2 million during a one-year period. They are independent of each other. What are the 99% VaR and expected shortfall (ES) for a portfolio consisting of the two investments?

a. VaR = $20 million; ES = $0.2362 million ($236,200)

b. VaR = $22 million; ES = $23.62 million

c. VaR = $20 million; ES = $23.62 million

d. VaR = $22 million; ES = $0.2362 million ($236,200)