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    Marginal VaR

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    sarafbisesh1
    Marginal VaR measures how a small change in a position affects the overall portfolio's Value at Risk (VaR). It calculates the beta of the position relative to the portfolio to determine the position's contribution to portfolio risk. Marginal VaR helps portfolio managers understand how individual positions impact total risk.

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    Marginal VaR

    Uploaded by

    sarafbisesh1
    46 views1 page
    Marginal VaR measures how a small change in a position affects the overall portfolio's Value at Risk (VaR). It calculates the beta of the position relative to the portfolio to determine the position's contribution to portfolio risk. Marginal VaR helps portfolio managers understand how individual positions impact total risk.

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    Marginal VaR measures how a small change in a position affects the overall portfolio's Value at Risk (VaR). It calculates the beta of the position relative to the portfolio to determine the position's contribution to portfolio risk. Marginal VaR helps portfolio managers understand how individual positions impact total risk.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    46 views1 page

    Marginal VaR

    Uploaded by

    sarafbisesh1
    Marginal VaR measures how a small change in a position affects the overall portfolio's Value at Risk (VaR). It calculates the beta of the position relative to the portfolio to determine the position's contribution to portfolio risk. Marginal VaR helps portfolio managers understand how individual positions impact total risk.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOCX, PDF, TXT or read online from Scribd
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    Understanding VaR Marginal VaR is a first derivative: what is the change in the portfolio VaR given a (small) change

    e in the position. Marginal VaR is a measure of the positions contribution to portfolio VaR (portfolio risk). Marginal VaR requires that we calculate the beta of a position with respect to the portfolio. Reference http://help.riskmetrics.com/RiskManager3/Content/VaRandRiskTopics/Risk_Methodologies.htm http://help.riskmetrics.com/RiskManager3/Content/RiskManager3_Help/Home/Application_Site_Ma p.htm http://www.jpmorgan.com/tss/General/Portfolio_Management_With_Incremental_VaR/12591043360 84 http://www.bionicturtle.com/how-to/video/marginal-value-at-risk-marginal-var

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