What is the relationship between marginal VAR and incremental VAR?

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Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:15 AM

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What is the relationship between marginal VAR and incremental VAR?

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By ignoring secondorder and higher order terms ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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