I'm ok with the notions of component and marginal VaR but can't retrieve results from marginal.
First what is the PortfolioVaR with the portfolio_method="marginal" ? Except the sign, the 2 figures I get from these functions for PortfolioVaR are differents : VaR(tsdata,method="gaussian",portfolio_method="marginal") VaR(tsdata,method="gaussian",portfolio_method="component")$VaR Second -and it is maybe be related - how is the marginal VaR computed ? I tried the following but the result is different from the function (here it is the 5th marginal) : VaR(tsdata,method="gaussian",portfolio_method="component")$VaR-VaR(tsdata[,-5],method="gaussian",portfolio_method="component")$VaR Many thanks for any helpful comment, PS : tsdata is any valid timeSeries. -- View this message in context: http://r.789695.n4.nabble.com/Value-at-risk-tp3516991p3609051.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
