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RMIM-2-portfolio-risk-analytical-methods.html
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<title>Risk Management and Investment Management | Chapter 2 | Portfolio Risk: Analytical Methods</title>
<meta name="description" content="Financial Risk Manager Part 2 Study Materials">
<meta name="author" content="MacLane Wilkison">
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<h1>Chapter 2</h1>
<h3>Portfolio Risk: Analytical Methods</h3>
<p>
<small>Created for <a href="http://alchemistsacademy.com">Alchemists Academy</a> by <a href="http://alchemistsacademy.com/about">MacLane Wilkison</a></small>
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<section>
<h2>Portfolio VaR</h2>
<ul>
<li>Diversified VaR - a portfolio VaR that accounts for diversification</li>
<li>Individual VaR - the VaR of one component taken in isolation</li>
<li>Undiversified VaR - the sum of individual VaRs (portfolio VaR) when there is no short position and all correlations are unity</li>
</ul>
</section>
<section>
<h2>VaR Tools</h2>
<ul>
<li>Marginal VaR - change in portfolio VaR resulting from taking an additional dollar of exposure to a given component</li>
<li>Incremental VaR - change in VaR owing to a new position</li>
<li>Best hedge - additional amount to invest in an asset in order to minimize the risk of the overall portfolio</li>
<li>Component VaR - a partition of portfolio VaR that indicates how much the portfolio VaR would change if a given component was removed</li>
</ul>
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<section>
<h1>THE END</h1>
<h3><a href="http://alchemistsacademy.com">AlchemistsAcademy.com</a></h3>
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