A credit risk analyst at a credit assessment firm is evaluating the economic capital for credit risk for two competing regional banks, Bank ABC and Bank XYZ. Both banks have the same credit asset exposure, duration of credit exposure, credit ratings, and expected losses. It is known that the average pairwise default correlation among the credit assets of Bank ABC is lower than that of Bank XYZ. Additionally, both banks maintain an identical predetermined confidence level for risk tolerance. Which of the following statements would be correct in this context? | Financial Risk Manager Part 2 Quiz