Question: Using data from section 8.2.4, compute the one-factor and two-factor VAR measures for the portfolios: (a) $100 million in the 5-year bonds and $100 million

Using data from section 8.2.4, compute the one-factor and two-factor VAR measures for the portfolios:
(a) $100 million in the 5-year bonds and $100 million in the 10-year bonds
(b) Short $170 million in the 5-year bonds and long $100 million in the 10-year bonds. Comment on the results.

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