It stands for incremental value at risk; a measure of risk (value at risk, or VaR, for short) that captures the amount risk a specific position adds to a portfolio/ an investment/ a firm. In other words, it reflects the effect of incremental change to the holdings or investments (which involves adding or removing a specific part of the holdings/ or a particular position).

Since this measure focuses on risk attribution, so sheds a particular light on how much risk a position or a component of a portfolio adds to the broader portfolio or investment, which can be positive or negative. If the incremental value at risk (iVaR) is positive, then addition implies a slight increase in the value at risk of the portfolio or investment. In the same logic, if the iVaR is negative, then removal (decreasing the size of the position) will result in slightly lower value at risk of the portfolio/ investment.

IVaR (iVar) may also denote interval value at risk (interval VaR); it is a measure of the risk associated with a risky asset with an interval-valued return. At the core of this interval-valued risk measure is the so-called random interval that describes uncertainty with both randomness and imprecision. Given the pervasive market uncertainty, random intervals are employed to outline the returns of a risky asset.