Question #15
Reading: Reading 37 Measuring and Managing Market Risk
PDF File: Reading 37 Measuring and Managing Market Risk.pdf
Page: 6
Status: Correct
Correct Answer: B
Question
Marginal Var is least likely to be:
Answer Choices:
A. change in VaR due to change in probability
B. change in VaR due to very small change in asset positon
C. conceptually similar to incremental VaR
Explanation
Marginal Var, conceptually similar to incremental VaR, captures the change in VaR for very
small changes in asset position.