Two portfolios have the same 1-day VaR. Which of the following statements is TRUE? O a. Both portfolios must have the same correlation of asset returns. O b. The 1-day change in asset values is log-normally distributed in both portfolios. C. The probability that losses could exceed the same dollar amount is equal in both portfolios. O d. The expected loss, conditional on losses being greater than VaR, is the same in both portfolios. Clear my choice