easy · Frm Part 2 Risk & Investment Management
Which of the following identifies the fundamental difference between Incremental VaR and Marginal VaR?
- Incremental VaR is used for risk attribution, while Marginal VaR is used for trade evaluation.
- Marginal VaR is always larger than Incremental VaR.
- Marginal VaR accounts for correlation, while Incremental VaR assumes assets are independent.
- Incremental VaR is a discrete measure requiring full revaluation, while Marginal VaR is a continuous derivative.
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