Marginal VaR Calculator

Formula

The formula to calculate the Marginal VaR (MVaR) is:

\[ MVaR = Tvar - Ivar \]

Where:

$ MVaR $ is the Marginal VaR ($)
$ Tvar $ is the Total VaR ($)
$ Ivar $ is the Initial VaR ($)

What is Marginal VaR?

Marginal VaR (Value at Risk) is a measure used in finance to assess the additional risk that a new investment or position brings to a portfolio. It is calculated by subtracting the initial value at risk (Ivar) from the total value at risk (Tvar) after adding the new investment. This helps in understanding the incremental risk contribution of the new position.

Example Calculation

Let's assume the following values:

Total VaR (Tvar) = $500,000
Initial VaR (Ivar) = $300,000

Using the formula to calculate the Marginal VaR:

\[ MVaR = 500,000 - 300,000 = 200,000 \text{ dollars} \]

The Marginal VaR is $200,000.