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You are asked by your portfolio manager to calculate the VaR of the portfolio that is...

You are asked by your portfolio manager to calculate the VaR of the portfolio that is consisting of two asset classes: long-term government bonds issued in the United States and long-term government bonds

issued in the United Kingdom. The expected monthly return on US bonds is 0.85%

and the standard deviation is 3.20%, while the expected monthly return on UK bonds (in US

dollars) is 0.95% and the standard deviation is 5.26%. The correlation between the US

dollar returns of UK and US bonds is 35%. The portfolio market value is $100 million

and is equally weighted between the two asset classes. Using the analytical method, compute the following:

  1. 5% monthly VaR
  2. 1% monthly VaR
  3. 5% weekly VaR
  4. 1% weekly VaR
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