Marginal VaR measures the risk added by new investments in a portfolio. Learn its definition, how it works, calculation, and impact on overall risk management.

When it comes to managing a portfolio with hundreds of millions or billions of dollars, it’s important to have a firm handle on risk. Specifically, fund managers need to calculate the Value at Risk ...

Sean Ross is a strategic adviser at 1031x.com, Investopedia contributor, and the founder and manager of Free Lances Ltd. Somer G. Anderson is CPA, doctor of accounting, and an accounting and finance ...

Amidst the current market turmoil due to the COVID-19 pandemic, it is timely to examine the performance of different Value-at-Risk (VaR) models over the long-term and in previous times of crisis.

SAN DIEGO--(BUSINESS WIRE)--Kyriba, (“the Company”), a global leader of cloud-based finance and IT solutions, today announced the launch of Kyriba FX with correlated value at risk (VaR) analysis to ...

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that incorporates interest-rate level volatility effects perform best with respect to ...