Extensions of VaR: CVaR, IVaR, and MVaR
By using specific mathematical equations, what type of VaR can reflect very small changes in a portfolio?
Bingo!
Marginal VaR reflects the anticipated small change in the portfolio by using calculus equations. So it can break the VaR into very detailed change.
No, actually.
IVaR focuses on the broader change to VaR when the size of a position is changed.
That's not it.
Ex ante tracking error deals with the benchmark VaR versus the portfolio VaR.
Marginal VaR
Incremental VaR
_Ex ante_ tracking error
