Marginal VaR: Difference between revisions
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imported>Doug Williamson m (Spacing and italics added 22/8/13) |
imported>Doug Williamson m (Category added 9/10/13) |
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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.'' | ||
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== 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.
