Marginal VaR: A Quick Look
1. Context
In this video from FRM Part 2, we explore this concept of Marginal VaR – a portfolio risk tool that helps us perform linear approximations for changes in VaR and realize risk-return tradeoffs. The Marginal VaR for any sub-portfolio is defined as the first order partial sensitivity of VaR to the amount invested (exposure) in this sub-portfolio. The details of the reading in which this topic appears are given below:
| Area | Market Risk |
| Reading | Some Correlation Basics: Properties, Motivation, Terminology |
| 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). |