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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
  4. 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...
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