Decide to invest in bond markets

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Finally, suppose that you do not want to take too much risk and decide to invest in bond markets. There are two zero-coupon bonds. In particular, suppose that you own 0.5m of a bond maturing at T1 = 5 Years with annualized yield volatility σ1 = 0.05 and 1m of a bond maturing at T1 = 30 Years with an annualized yield volatility σ1 = 0.10. The correlation between yields on the two bonds is 0.6. Compute the 1 week VaR of your portfolio.

Reference no: EM131984699

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