Calculate VaR and expected shortfall (Part 1): Suppose that each of two investments has a 3% chance of a loss of $10 million, a 7% chance of a loss of $3 million, and a 90% chance of a profit of $2 million. They are independent of each other. What is the VaR and the expected shortfall for one of the investments when the confidence level is 95%? Select one: O a. VaR=$10 million; Expected shortfall=$10 million Ob. VaR=$3 million: Expected shortfall=$7.2 million Oc. VaR-$6.5 million; Expected shortfall=$6.5 million O d. VaR=$3 million; Expected shortfall=$6.5 million O e. VaR=$2 million; Expected shortfall= $6 million