Marginal VaR: Difference between revisions

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''Risk management''.   
''Risk management''.   
A measure of the Value at Risk impact on a portfolio of small changes in a position.
A measure of the Value at Risk impact on a portfolio of small changes in a position.


Also known as Delta VaR.
 
''Also known as Delta VaR.''
 


== See also ==
== See also ==
* [[Value at risk]]
* [[Value at risk]]


[[Category:Risk_frameworks]]

Latest revision as of 14:15, 9 October 2013

Risk management.

A measure of the Value at Risk impact on a portfolio of small changes in a position.


Also known as Delta VaR.


See also