Marginal VaR

From ACT Wiki
Jump to navigationJump to search
The printable version is no longer supported and may have rendering errors. Please update your browser bookmarks and please use the default browser print function instead.

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

Retrieved from ‘https://wiki.treasurers.org/w/index.php?title=Marginal_VaR&oldid=31842’