- Thread starter rajeshtr
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Please see this one sheet workbook that I just detached for you https://www.dropbox.com/s/srglvldxh0ymxuy/Jorion-table-11-9-FRA.xlsx?dl=0 (screenshot below)

This is my replication of Jorion's table. I added some labels and color to my derivation of the marginal VaR which is explicated in the vertical column and finally when solved

There is some matrix multiplication, first, to retrieve the covariance matrix from the correlations (themselves inferred from the risk%) and volatility; second to compute the portfolio variance.

Component VaR = marginal VaR * $position; there are three definitions of component VaR, this is the most intuitive (component VaR scales unitless marginal to the appropriate units of the position)

The only difficult calculation here, IMO, is the marginal VaR that you are asking about (purple cells H36 and H37). I used marginal VaR, ΔVaR = α*cov(i,P)/σ(P). I hope that helps, good luck, a deep dive on this takes a bit of time.

Also https://www.bionicturtle.com/forum/...nent-value-at-risk-var-jorion.4779/post-70165 i.e.,

Hi @Marco.Musci Component VaR can be calculated three ways ( although, importantly, this are internally consistent: they always give the same answer as demonstrated by my worksheet in https://www.bionicturtle.com/topic/learning-spreadsheet-jorion-chapter-17/ ), where CVaR = component VaR:

- CVaR = VaR_marginal * $Position
- CVaR = $VaR_portfolio* %position_weight * β(position, portfolio)
**CVaR = $VaR_individual * ρ(position, portfolio)**

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