A

问题如下：

A pension fund invests in a variety of asset classes including bonds, equities, commodities and currencies. To meet growing pension liabilities, the fund’s board has been putting a lot of pressure on the chief investment officer (CIO) to increase returns. One proposal that came up at the last board meeting was to invest in hedge funds. The chief risk officer (CIO), in preparing a quarterly report to the board, is concerned about giving an accurate and appropriate representation of the risk the fund faces, responding to several requests from the CIO for information to be included in the report, and investigating the issue of risks related to investing in hedge funds.The pension fund currently has significant credit exposure to Europa and Asia The CRO recommends changing the assumptions in the fund’s risk models by increasing the default correlation between bonds issued in Europe and bonds issued in Asia. If the default correlation is increased and all the other parameters are kept the same, which of the following is correct?

选项：

A.The fund's expected loss will increase.

B.The fund's unexpected loss will decrease.

C.The fund's expected loss will decrease

D.The fund's unexpected loss will increase