Measuring and managing market, credit and Op risk [21]

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Bullet points include: Important in many contexts to consider how individual exposures contribute to total portfolio risk, especially when managing risk Most common approach, see Kemp (2009), is to use marginal risk measures, e.g. Marginal VaR, which for the i’th exposure within total losses is defined as: Here ai is the weight in asset i (out of m) and xi is its return / movement Contributions to risk, i.e. ai x MVaR(i), add to total VaR

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