Message-ID: <1308478778856-3609051.post@n4.nabble.com>
Date: 2011-06-19T10:19:38Z
From: sadako
Subject: Value-at-risk
In-Reply-To: <1305909100.27623.45.camel@brian-desktop>
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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