Marginal Value at Risk (marginal VaR)

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Published 1 Nov 2008
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This is a review which follows Jorion's (Chapter 7) calculation of marginal value at risk (marginal VaR). M...
This is a review which follows Jorion's (Chapter 7) calculation of marginal value at risk (marginal VaR). Marginal VaR requires that we calculate the beta of a position with respect to the portfolio.
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