Var quiz problem, percent, monthly, example, between

AnalystForum

A good example problem I came upon in EOC.

$100M portfolio
50% US Bonds, 50% UK Bonds

US Bonds:
Monthly Return = .85%
Standard Deviation = 3.2%

UK Bonds:
Monthly Return = .95%
Standard Deviation = 5.26%

Correlation between the 2 = .35

Using analytical method, calculate:

5 percent monthly VAR
5 percent weekly VAR