incremental-var

  1. Nicole Seaman

    P2.T9.21.5 Incremental versus component value at risk (VaR)

    Learning objectives: Define, calculate, and distinguish between the following portfolio VaR measures: diversified and undiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, and component VaR. Explain the impact of correlation on portfolio risk. Questions: 21.5.1. Patricia...
  2. E

    Jorion, Incremental VaR - Best hedge (equation 7.24-26)

    Hi @David Harper CFA FRM, I wanted to start a new topic which has not yet been discussed in great detail. Jorion mentions on page 170 that a particular new trade involves a position in one risk factor (asset). The portfolio value changes from the old value of W to a new value of W(p+a) = W +...
  3. C

    Difference between Marginal and incremental VAR

    Hi I'm somewhat confused between Marginal and Incremental VAR. Am i right to say that the only difference between the two is that Incremental VAR is calculated precisely from a total revaluation of the portfolio and that Marginal VAR is just an estimation of the change in VAR? Regards
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