Error in Cholesky Matrix

[excalibur]

Hello Everyone,
Very useful forum. Thank you for sharings.

I encountered an error Monte Carlo VaR when forming cholesky decomposition matrix from covariance. Here is my covariance matrix.

0,027733% 0,027727% 0,027721% 0,027716% 0,027710% 0,027684%
0,027727% 0,027722% 0,027716% 0,027711% 0,027705% 0,027679%
0,027721% 0,027716% 0,027711% 0,027705% 0,027700% 0,027673%
0,027716% 0,027711% 0,027705% 0,027700% 0,027694% 0,027668%
0,027710% 0,027705% 0,027700% 0,027694% 0,027689% 0,027662%
0,027684% 0,027679% 0,027673% 0,027668% 0,027662% 0,027636%

At the end of Cholesky matrix I am getting error of divide by zero. How can I avoid that? Should I do approach like replacing "0" instead of "DIV/0!"? Is this approach reliable?

Thanks.

 

[afterworkguinness]

Hi excalibur, this forum is aimed at content testable on the FRM exams. While the basic concept of Cholesky decomposition is mentioned in the material, your question might be better posed here: quant.stackexchange.com