[R-SIG-Finance] Value-at-risk

[sadako]

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.

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