Yes, David, you are right - I have misinterpreted the result. The.pdf is the exact output and the algorithm is working. Many thanks! Ivette -- View this message in context: http://r.789695.n4.nabble.com/calculating-VAR-of-a-Gumbel-copula-tp3821566p3822196.html Sent from the R help mailing list archive at Nabble.com.