Marginal, Incremental and Component VaR: A Solved Example
1. Context
In this video from FRM Part 2 curriculum (Book 5, Investment Risk), we go through a solved example that helps review the definition, the formula and application of three types of VaR: Marginal VaR, Incremental VaR and Component VaR. For more information about the FRM Part 2 preparation course, please visit the course page.
| Area | Investment Management |
| Reading | Portfolio Risk: Analytical Methods |
| Reference | Philippe Jorion, Chapter 7. Portfolio Risk: Analytical Methods In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw-Hill, 2007). |