Parameters for incremental value at risk (IncVaR)

[Mauricio_R]

Hello everyone,

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.

I assume that the deffault value is the same as the position value calculated.

Can anyone help me confirming this information?

[yot]

Incremental VaR (IncVaR) provides a non-summable way to quantify the contribution of a sub-portfolio to the VaR of the entire portfolio.

IncVaR_subport = VaR_port - VaRWO_subport