PerformanceAnalytics: Error computing component-VaR using method="kernel"
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' Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock