Economic Capital (EC) is calculated as the product of the Portfolio Unexpected Loss ($UL_P$) and the capital multiplier.

First, compute the Unexpected Loss for the portfolio: $UL_P = \sqrt{ \sum_{i=1}^n \sum_{j=1}^n \rho_{i,j} UL_i UL_j }$

Given $UL_i = 85$ million for all 12 assets, $\rho_{i,i} = 1$, and $\rho_{i,j} = 0.3$ for $i \neq j$: $UL_P = \sqrt{ 12 \times (85)^2 + 12 \times 11 \times 0.3 \times (85)^2 }$ $UL_P = 85 \times \sqrt{ 12 + 39.6 } = 85 \times \sqrt{ 51.6 } \approx 85 \times 7.1833 \approx 610.58 \text{ million JPY}$

Next, multiply by the capital multiplier (CM = 7.3): $EC = 7.3 \times 610.58 \text{ million} \approx 4,457.2 \text{ million JPY} = 4.457 \text{ billion JPY}$

Thus, Option C is correct.