Difference between IVaR and CVaR

Part 2:

What is the difference between IVaR and CVaR? the formula seems to be same. if a new asset is purchased, IVaR and CVaR for this new trade are same?

IVaR is the change in VaR that results from adding a new investment, simultaneously reducing the existing investments to make room for the new one.

CVaR is average (expected) loss when the VaR limit is exceeded.

They’re quite different from each other.

IVaR: Does it have to reduce another asset position when adding a new asset?
CVaR (Component VaR): The value at risk (VaR) that is attributed to a given component of a portfolio. Are you explaining Conditional VaR?

Note: I’m talking about how the terms are defined in the CFA curriculum. The FRM curriculum may define them differently. That would be a little stupid, but not impossible.


The increase in VaR from adding a new position without decreasing existing positions is known as marginal VaR (MVaR).


I haven’t seen component VaR. But, then, I’ve not taken the FRM exams.

What does the curriculum say about component VaR?