https://communities.sas.com/t5/SAS-Risk-Management/Parameters-for-incremental-value-at-risk-IncVaR/m-p/671230#M374 <DIV id="p1ukuy2qyyfg02n1xxctd65kyd5z" class="xis-paragraph">Incremental VaR (IncVaR) provides a non-summable way to quantify the contribution of a sub-portfolio to the VaR of the entire portfolio.</DIV> <DIV id="p0qyhv717pva45n1t83odu37qeqn" class="xis-equation"> <DIV class="xis-graphicAndDescription"> <P>IncVaR_subport = VaR_port - VaRWO_subport</P> <P>&nbsp;</P> </DIV> </DIV> Tue, 21 Jul 2020 22:17:35 GMT yot 2020-07-21T22:17:35Z https://communities.sas.com/t5/SAS-Risk-Management/Parameters-for-incremental-value-at-risk-IncVaR/m-p/651833#M366 <P>Hello everyone,</P><P>I have a doubt about the risk dimmensions. I'm trying to calculate the incremental value related to the risk; I just can't find the repositioning value of the portfolio.</P><P>I assume that the deffault value is the same as the position value calculated.</P><P>Can anyone help me confirming this information?</P><P>&nbsp;</P><P>&nbsp;</P> Fri, 29 May 2020 18:54:17 GMT https://communities.sas.com/t5/SAS-Risk-Management/Parameters-for-incremental-value-at-risk-IncVaR/m-p/651833#M366 Mauricio_R 2020-05-29T18:54:17Z https://communities.sas.com/t5/SAS-Risk-Management/Parameters-for-incremental-value-at-risk-IncVaR/m-p/671230#M374 <DIV id="p1ukuy2qyyfg02n1xxctd65kyd5z" class="xis-paragraph">Incremental VaR (IncVaR) provides a non-summable way to quantify the contribution of a sub-portfolio to the VaR of the entire portfolio.</DIV> <DIV id="p0qyhv717pva45n1t83odu37qeqn" class="xis-equation"> <DIV class="xis-graphicAndDescription"> <P>IncVaR_subport = VaR_port - VaRWO_subport</P> <P>&nbsp;</P> </DIV> </DIV> Tue, 21 Jul 2020 22:17:35 GMT https://communities.sas.com/t5/SAS-Risk-Management/Parameters-for-incremental-value-at-risk-IncVaR/m-p/671230#M374 yot 2020-07-21T22:17:35Z