Suppose that the daily change in the value of a portfolio is, to a good approximation, linearly dependent on three factors, calculated from a principal components analysis. The delta of a portfolio with respect to the first factor is 6, the delta with respect to the second factor is -4, and the delta with respect to the third factor is 2. The standard deviations of the factors are 20, 8, and 3 respectively. a) What is the 5-day 95% VaR? b) If you could only choose two of the three factors in the PCA, which would you choose and why? c) Recalculate your answer to part a) given your choice in b)