A risk manager is *uating a pairs trading strategy recently initiated by one of the firm’s traders. The strategy involves establishing a long position in Stock A and a short position in Stock B. The following information is also provided:
　     1-day 99% VaR of Stock A is USD 100 million
　　 1-day 99% VaR of Stock B is USD 125 million
　　 The estimated correlation between long positions in Stock A and Stock B is 0.8
　　Assuming that the returns of Stock A and Stock B are jointly normally distributed, the 1-day 99% VaR of the combined positions is closest to?
　　A.     USD 0 million
　　B.     USD 75 million
　　C.     USD 160 million
　　D.     USD 225 million
　　Answer: B