Marginal value at risk (marginal VaR)

This is a review which follows Jorion's (Chapter 7) calculation of marginal value at risk (marginal VaR). Marginal VaR requires that we calculate the beta of a position with respect to the portfolio. For more financial risk videos, visit our website! www.bionicturtl...

[@cesara7478]

Didnt get at first. But i will try again. Many thanks for creating this video with a real example and not just show formulas.

[@georgekiossev7865]

This obviously works with very small numbers put portfolio of 5-6 elements with 50-60 mil per assets and good luck having the same number as total variance etc

[@Questington]

and thank you for your time! :)

[@shkdgg]

brutal

[@chrish354]

when calculating your var, are you assuming E(R) i.e. the mean return, is normally distributed around 0?