A measure of risk (value at risk or VaR) that constitutes the amount of additional risk that is added by a new investment or asset class or position in a portfolio or broadly a firm. Marginal value at risk (marginal VaR) captures the change in a portfolio that results from addition or subtraction of a particular component. This measure quantifies the exposure to financial risk within a firm, portfolio, or position over a pre-defined period (horizon). In so doing, it isolates marginal risk, i.e., an additional unit of security-specific/ investment-specific risk for each additional currency unit of exposure.

In other words, it captures the change in a portfolio’s value at risk when an additional dollar is added to, or subtracted from, the portfolio. For each change in the dollar composition, this measure reflects the amount of risk that added to, or subtracted from, the entire portfolio by the specified amount of change.

This measure is known for short as MVaR.