medium · Frm Part 2 Market Risk
A fund manager calculates the 'Marginal VaR' for an equity position in a portfolio.
What does this metric specifically measure?
- The change in total portfolio VaR for a small unit increase in the position size.
- The risk added to the portfolio by including a completely new, large position.
- The standalone risk of the position if it were the only asset in the portfolio.
- The total dollar amount of VaR attributed to that position, summing to 100%.
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