[R-SIG-Finance] PerformanceAnalytics: Error computing component-VaR using method="kernel"

Brian G. Peterson brian at braverock.com
Sat Jan 1 19:25:32 CET 2011

On 01/01/2011 11:23 AM, Gero Schwenk wrote:
> I've got a question regarding the VaR-function from the
> PerformanceAnalytics-package. When I call it in order to compute VaR
> contributions using the nonparametric kernel estimator, I get an error
> report. Obviously this is independent of my data, because I can
> replicate it using the edhec example data, as shown below. Does anybody
> have a hint how to deal with this problem?

Looks like a bug, I can replicate it here.  Not sure what's broken yet, 
as this all had to work when we sent it to CRAN recently.  We'll debug 
and patch.  ES is broken too with method='kernel'


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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