Marginal VaR: Difference between revisions
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A measure of the Value at Risk impact on a portfolio of small changes in a position. | A measure of the Value at Risk impact on a portfolio of small changes in a position. | ||
''Also known as Delta VaR.'' | ''Also known as Delta VaR.'' | ||
Revision as of 09:37, 22 August 2013
Risk management.
A measure of the Value at Risk impact on a portfolio of small changes in a position.
Also known as Delta VaR.
