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:
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