Computation of portfolio VAR.

The yields data file in Jorions website contains 5-year yields from 1953 to 1994. Using this information and the duration approximation, compute the portfolio VAR as of December 1994. Risk should be measured over a month at the 99%level. Report the distribution and compute the VAR:

- using a normal distribution for yield changes (Delta-Normal method), and

- using the actual distribution for yield changes (Historical-Simulation method).

Compare the VAR obtained using the two methods.