A bank holds a trading portfolio (long position) valued at $350,000. The distribution of the daily return on this portfolio is normally distributed with a mean zero and standard deviation of 1%. What is the DEAR, i.e., the potential loss of the banks portfolio which has a chance of 1% to happen (1% chance of adverse move) if beta of the portfolio is one?

a.

$4,000

b.

$10,000

c.

$6,300

d.

$5,650

e.

$8,155