What is the combined VaR of two securities that are perfectly positively correlated.

Choice 'b' is the correct answer. When two securities have a correlation of +1, they are effectively the same security. In such cases, the standard deviations of the two securities are additive, which means the VaRs can simply be added together to get the combined VaR. All the other choices are incorrect.

Choice 'c' in particular would have been correct if the securities were completely uncorrelated, ie if they had a correlation of zero.

Choice 'a' would have been correct if their correlation were -1.