Hallerbach, Winfried G. - Tinbergen Institute - 1999
VaR of adding a new instrument to the existing portfolio. Expressions for these marginal, component and incremental VaR … marginal VaR, component VaR and incremental VaR in either a non-normal analytical setting or a Monte Carlo / historical …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational …