Extension of VaR

CFA Level II Portfolio Management
#1

what is the difference between incremental VaR and marginal VaR?

#2

MVaR is IVaR for a very small increment.

#3

Thanks S2000, always helpful.

#4

You’re quite welcome.

#5

quesion please:—

1.Isnt IVar for any change of security’s weighting and MVar is for small change in security weightings??

  1. Is MVar only the tangent of the curve or is it different for different point of the curve (ie. different for different security weightings)?