Learning objectives: Apply the concept of marginal VaR to guide decisions about portfolio VaR. Explain the risk-minimizing position and the risk and return-optimizing position of a portfolio. Explain the difference between risk management and portfolio management and describe how to use marginal...
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?