Diagnosis
The VaR is calculated from the four moments of the distribution(expected value, standard deviation, skewness and kurtosis) usingCornish/Fisher approximation.
In this case, the second moment has a negative value. Therefore, the VaRfor the corresponding nodes equals zero. A negative second momentimplies that the correlation matrix was not defined to be positive.

System Response

Procedure
Make sure that the correlation matrix is defined as being positive.