Example Suppose there are two bonds, bond X and bond Y. Each has a probability default of 3% and $1,000 face value. If default occurs, zero value will be recovered. These two bonds are identical and independent. Please calculate the 95% VaR of single bond and then sum them up. Compare the sum of single bond VaR with portfolio VaR. Example Suppose there are two bonds, bond X and bond Y. Each has a probability default of 3% and $1,000 face value. If default occurs, zero value will be recovered. These two bonds are identical and independent. Please calculate the 95% VaR of single bond and then sum them up. Compare the sum of single bond VaR with portfolio VaR