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

sadako guillaume.kovarcik at gmail.com
Sun Jun 19 12:19:38 CEST 2011

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 :

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) :


Many thanks for any helpful comment,

PS : tsdata is any valid timeSeries.

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