what is the difference between incremental VaR and marginal VaR?
MVaR is IVaR for a very small increment.
Thanks S2000, always helpful.
You’re quite welcome.
1.Isnt IVar for any change of security’s weighting and MVar is for small change in security weightings??
- Is MVar only the tangent of the curve or is it different for different point of the curve (ie. different for different security weightings)?