An analyst would like to know the VaR for a portfolio 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 weekly return on U.S. bonds is 0.85 percent, and the standard deviation is 3.2 percent. The expected weekly return on U.K. bonds, in U.S. dollars, is 0.95 percent, and the standard deviation is 5.26 percent. The correlation between the U.S. dollar returns of U.K. and U.S. bonds is 0.35. The portfolio market value is $100 million and is equally weighted between the two asset classes. TASK. Using the analytical or variance-covariance method, compute the following: a. b. c. d. 5 percent monthly VaR. 1 percent monthly VaR. 5 percent weekly VaR. 1 percent weekly VaR