A bank holds a trading portfolio (long position) valued at $380000. The distribution of the daily return on this portfolio is normally distributed with a mean zero and a standard deviation of 1.7%. 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 the beta of the portfolio is one?

a.

$13546.62

b.

$16556.98

c.

$8854.00

d.

$15051.80

e.

$10659.00