C is correct. Using Equation presented in the reading, the unexpected loss contribution for a single credit asset ($ULC_i$) is derived as follows:

$ULC_i = UL_i * \sqrt{\rho}$

where $\rho$ = pairwise default correlation = 0.25,

and,

$UL_i = \text{unexpected loss of each loan} = EA * \sqrt{PD * \sigma_{LR}^2 + LR^2 * \sigma_{PD}^2}$

where,

EA = loan exposure amount = CNY 3,000,000
PD = 0.04
$\sigma^2(PD) = 0.196^2 = 0.0384$
$LR^2 = 0.15^2 = 0.0225$
$\sigma^2(LR) = 0.09^2 = 0.0081$

Therefore,

$UL_i = \text{CNY } 3,000,000 * \sqrt{0.04 * 0.0081 + 0.0225 * 0.0384}$ $= \text{CNY } 3,000,000 * \sqrt{0.000324 + 0.000864} = \text{CNY } 103,402.13$

Thus, $ULC_i = 103,402.13 * \sqrt{0.25} = \text{CNY } 51,701.07$

A is incorrect. CNY 25,851 is the result obtained by incorrectly getting the product of $UL_i$ and $\rho$.