Marginal VaR

The change in portfolio VaR from a small change in one position. Component VaR splits total VaR into parts that add up to it.

Where you will meet it

Marginal VaR comes up in 5 learning outcome notes across the FRM syllabus. A few of them:

Portfolio Risk: Analytical Methods
FRM Part II · Risk management and investment management
“Incremental VaR is the change in diversified VaR from adding or dropping a whole position.”
Portfolio Risk: Analytical Methods
FRM Part II · Risk management and investment management
“Marginal VaR tells a manager how portfolio VaR responds to a small change in one position.”
Portfolio Risk: Analytical Methods
FRM Part II · Risk management and investment management
“Two special positions are defined by the same marginal VaR machinery.”
Portfolio Risk: Analytical Methods
FRM Part II · Risk management and investment management
“Marginal VaR links the two.”

All terms beginning with M · FRM glossary

Practise marginal VaR until it is automatic: questions that explain every wrong option.

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