Diagnosis
The covariance matrix is not positively defined, therefore no Choleskyanalysis of the covariance matrix can be carried out. The calculatedVaRs only apply conditionally.

Procedure
Align variances and covariances in such a way that the covariancematrix is positively defined. Or, using an external Monte Carlocalculator (User exit level 1), split up the covariance matrix with thesingle value analysis. (The algorithm for the single value analysis ofa matrix cannot be applied in the case of non-positively definedmatrices.)