After finishing your risk management course, 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:

(A) 5% monthly VaR

(B) 1% monthly VaR

(C) 5% weekly VaR

(D) 1% weekly VaR