Is there a Component/Marginal VaR for the Monte Carlo simulation approach?
Posted: 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? 
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Is there a Component/Marginal VaR for the Monte Carlo simulation approach?
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Re: Is there a Component/Marginal VaR for the Monte Carlo simulation approach?
Posted: 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
Re: Is there a Component/Marginal VaR for the Monte Carlo simulation approach?
Posted: 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 
would you happen to have an excel sheet example