We have the following question and hope to seek your advice. Thanks in advance.---------------------------------------------------------------------------------------------------------We want to calculate the VaR of a portfolio containing- USA Treasury Bonds- USD Interest Rate Derivatives- German Treasury Bonds- Greece Treasury Bonds- EUR Interest Rate DerivativesTo do it, we regard the risk factors of the portfolio as the 1-day, 3-month, 1-year, 2-year, 5-year, 10-year zero rates of- USA Treasury Yield Curve- USD Swap Yield Curve- German Treasury Yield Curve- Greece Treasury Yield Curve- EUR Swap Yield CurveThus, there are 6 x 5 = 30 risk factors.Suppose we can express the portfolio exposure in terms of the above risk factors, what is the market practice of calculating the VaR of the portfolio?

use principal component analysis to decrease risk factors number first.see "scenario simulation: theory and methodology".

Thanks, tigerbill.The paper seems to be very useful.

Can anyone post this paper, please???