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Risk measures [17]

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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 (Jan 2011) defined MVaR as IvaR and vice-versa

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