You invest in a 2-year Government bond and a 2-year BBB rated corporate bond, both with a face value of $100 and a coupon rate of 4% (paid annually). The Government yield curve is flat at 4% while the BBB corporate yield curve is flat at 7%. Assume all shifts in the yield curve are parallel and that the distribution of 1 month changes in the rates are ARGN(0, 0.0001) and ARBBBN(0, 0.0002) Use the duration approximation to get the VaR(1 year,95%) for this bond portfolio. You invest in a 2-year Government bond and a 2-year BBB rated corporate bond, both with a face value of $100 and a coupon rate of 4% (paid annually). The Government yield curve is flat at 4% while the BBB corporate yield curve is flat at 7%. Assume all shifts in the yield curve are parallel and that the distribution of 1 month changes in the rates are ARGN(0, 0.0001) and ARBBBN(0, 0.0002) Use the duration approximation to get the VaR(1 year,95%) for this bond portfolio