Consider the following discrete probability distributions of payoffs for 3 securities that are held in a DI's trading portfolio (payoff amounts shown are in $millions):

\begin{array} { | l | l | l | } \hline \text { SECURITY } & \text { PROBABILITY } & \text { PAYOFF } \\\hline \text { Alpha } & 0.50 & 355 \\\hline & 0.49 & 150 \\\hline & 0.01 & - 300 \\\hline\end{array}

\begin{array} { | l | l | l | } \hline \text { SECURITY } & \text { PROBABILITY } & \text { PAYOFF } \\\hline \text { Beta } & 0.50 & 400 \\\hline & 0.49 & 150 \\\hline & 0.0025 & - 300 \\\hline & 0.0075 & - 3,300 \\\hline\end{array}

\begin{array} { | l | l | l | } \hline \text { SECURITY } & \text { PROBABILITY } & \text { PAYOFF } \\\hline \text { Gamma } & 0.49 & 400 \\\hline & 0.49 & 150 \\\hline & 0.01 & - 150 \\\hline & 0.01 & - 2.000 \\\hline\end{array}

What is the one-day, 99% confidence level, value at risk (VAR) of securities Alpha and Beta, respectively (in millions)?
A)$3 and $25.50
B)$3 and $0.75
C)$248 and 248
D)$300 and $300
E)300 and 3,300

Sumitomo Bank's Risk Manager Has Estimated That the DEARs of Two

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