garp17-p2-60
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C
Difference between Marginal and incremental VAR
Hi I'm somewhat confused between Marginal and Incremental VAR. Am i right to say that the only difference between the two is that Incremental VAR is calculated precisely from a total revaluation of the portfolio and that Marginal VAR is just an estimation of the change in VAR? Regards- CYLoh
- Thread
- garp17-p2-60 incremental-var marginal-var
- Replies: 51
- Forum: P2.T9. Investment Management (15%)