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RMVaR


It stands for relative marginal value at risk; a measure of risk (value at risk, VaR) [specifically, marginal value at risk, marginal VaR] that captures the impact on a portfolio’s relative value at risk (relative VaR) that is caused by the change (decreasing) in weights of a certain group of instruments, either to a neutral level (zero) or a benchmark weight. In other words, it reflects the increase in marginal value at risk (MVaR) for a portfolio with proportional allocation to a component (an asset) relative to a portfolio consisting only of a relevant index (e.g., an equity index).

This measure can better match or capture unexpected losses, compared to its absolute version (absolute marginal value at risk, absolute MVaR).

In the same way value at risk (VaR) is a special case of relative value at risk (relative VaR), marginal value at risk (marginal VaR, MVaR) is a special case of relative marginal value at risk (relative MVaR, RMVaR).



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Risk management is a collection of tools, techniques and regimes that are used by businesses to deal with uncertainty. This involves planning and ...
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