Is there a Component/Marginal VaR for the Monte Carlo simulation approach?

tiko · December 19th, 2016, 1:30 pm

is there a Component/Marginal VaR for Monte Carlo Simulation VaR? or Does it exists only for normal VaR?

Finatos · December 19th, 2016, 6:33 pm

You can just fix the random variable (vector) for a scenario across all the securities/risk factors. Then you can use it to calculate Marginal VaR

tiko · December 20th, 2016, 7:17 am

Thanks Finatos for reply, but don't understand what you mean

would you happen to have an excel sheet example