Measuring and managing market, credit and Op risk [23]

Go to: Summary | Previous | Next   
Bullet points include: Incremental VaR is change in total portfolio VaR that results from dropping the entire i’th exposure from the portfolio: No longer adds to total VaR, as VaR is in general non-linear Note: need to consider whether remaining positions are reweighted VaR is not usually weight-focused, but is often converted to such a measure (as when expressed as a percentage of value) Note: Wikipedia defines MVaR as IvaR and vice-versa (as at Jan 2011)

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile