The correct answer to the question is option C, which is JPY 405 million. The expected shortfall (ES) is an estimate of the potential loss that can be expected to be exceeded with a certain level of confidence. In this case, the 97.5% confidence level is used to calculate the ES. The ES is obtained by averaging the Value at Risk (VaR) figures for the confidence levels that are greater than 97.5%. The VaR figures for the 98.0%, 98.5%, 99.0%, and 99.5% confidence levels are JPY 378,412,500, JPY 392,452,500, JPY 410,880,000, and JPY 439,252,500 respectively. By averaging these four VaR figures, the ES at the 97.5% confidence level is calculated as JPY 405,249,375, which is approximately JPY 405 million. This method of averaging provides a more robust estimate of the potential losses beyond the VaR threshold, offering a better understanding of the tail risk in the portfolio.