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  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. N

    PQ-external Question about definition of component VaR

    Hi, Mr. Harper, for this question, I choose the correct answer A. But I still have a question on component VaR. By definition on the notes, "Component VaR for position i, denoted CVaRi, is the amount a portfolio VaR would change from deleting that position in a portfolio." In this...
  3. David Harper CFA FRM

    Component versus Incremental value at risk (VaR), Level 2

    Hi, Andrew raises a good question here, with respect to GARP's sample question. The setup gives a typical two-asset portfolio with correlations and asks, "If asset 1 is dropped from the portfolio, what will be the reduction in portfolio VaR?" I think that's a bit of a mean question because it...