Entity Framework 6 Lazy Loading doesn't work

I have created two model classes: Student and Exam.

Student:

class Student
{
    [Key]
    public int StudentId { get; set; }

    [Required, MaxLength(30)]
    public string FirstName { get; set; }

    [Required, MaxLength(50)]
    public string LastName { get; set; }

    [Required]
    public DateTime BirthDate { get; set; }

    public virtual ICollection<Exam> Exams { get; set; } 
}

Exam:

public enum Grade
{
    A, B, C, D, E, F
}
class Exam
{
    [Key]
    public int ExamId { get; set; }

    [Required]
    public Grade Grade { get; set; }

    [ForeignKey("Student"), Required]
    public int StudentId { get; set; }

    public virtual Student Student { get; set; }
}

But it seems Lazy Loading doesn't work, here's example how I retrieve data:

using (var context = new StudentContext())
{
    context.Configuration.LazyLoadingEnabled = true;
    context.Configuration.ProxyCreationEnabled = true;

    var student = context.Students.Single(s => s.LastName == "ABC");

    foreach (var exam in student.Exams)
    {
        Console.WriteLine($"{exam.ExamId}: {exam.Grade}");
    } 
    context.SaveChanges();
}

And I'm getting NullReferenceException when I try to access students.Exams property. What's wrong in my code?

The problem with my code is that Entity Framework Lazy Loading isn't working and I don't know why. It's not about not initializing Exams, because Entity Framework should do it alone when I try to access Exams property.