Suppose that the daily change in the value of a portfolio is, to a good approximation, linearly dependent on two factors, calculated from a principal components analysis. The delta of a portfolio with respect to the first factor is 6 and the delta with respect to the second factor is -4. The standard deviations of the factor are 20 and 8, respectively. What is the 5-day 90% VaR?

AppendixLO1