DEFINITION of 'Marginal VaR'
The additional amount of risk that a new investment position adds to a portfolio. Marginal VaR (value at risk) allows risk managers to study the effects of adding or subtracting positions from an investment portfolio. Since value at risk is affected by the correlation of investment positions, it is not enough to consider an individual investment's VaR level in isolation. Rather, it must be compared with the total portfolio to determine what contribution is makes to the portfolio's VaR amount.
BREAKING DOWN 'Marginal VaR'
An investment may have a high VaR individually, but if it is negatively correlated to the portfolio, it may contribute a much lower amount of VaR to the portfolio than its individual VaR. For example, consider a portfolio with only two investments. Investment X has a value at risk of $500 and investment Y has a value at risk of $500. Depending on the correlation of investments X and Y, putting both investments together as a portfolio might result in a portfolio value at risk of only $750. This means that the marginal value at risk of adding either investment to the portfolio was $250.

Incremental Value At Risk
The amount of uncertainty added to or subtracted from a portfolio ... 
Value At Risk  VaR
A statistical technique used to measure and quantify the level ... 
Modern Portfolio Theory  MPT
A theory on how riskaverse investors can construct portfolios ... 
Diversification
A risk management technique that mixes a wide variety of investments ... 
Managed Futures
An alternative investment strategy in which professional portfolio ... 
Trading Effect
A measure of performance that examines the difference in returns ...

Managing Wealth
Value at Risk (VaR)
Value at risk, often referred to as VaR, measures the amount of potential loss that could happen in an investment or a portfolio of investments over a given time period. 
Managing Wealth
Backtesting ValueatRisk (VaR): The Basics
Learn how to test your VaR model for accuracy. 
Trading
How To Convert Value At Risk To Different Time Periods
Volatility is not the only way to measure risk. Learn about the "new science of risk management". 
Investing
How Investment Risk Is Quantified
FInancial advisors and wealth management firms use a variety of tools based in Modern portfolio theory to quantify investment risk. 
Managing Wealth
The Workings Of Equity Portfolio Management
Achieve analytical efficiency by applying your evaluation to a key set of stocks. 
Investing
Introduction To Value Investing
Find out what value investing is and how you can put it to work for your investment portfolio. 
Trading
How to Create a Risk Parity Portfolio
Learn about how risk parity uses leverage to create equal exposure to risk among different asset classes in portfolio construction. 
Managing Wealth
Understanding Portfolio Investment
Portfolio investment involves buying securities with the expectation of earning a return on them. 
Managing Wealth
Portfolio Manager: Job Description & Average Salary
Discover the duties and responsibilities of a portfolio manager, along with education, training and skills requirements, and salary expectations. 
Managing Wealth
Concentrated Vs. Diversified Portfolios: Comparing the Pros and Cons
Examine the relative advantages and disadvantages of utilizing either a concentrated or a diversified investment portfolio strategy.

What does Value at Risk (VaR) have to do with maximization of shareholder wealth?
Learn about the value at risk statistical measure and how examining the VaR for their investments can help investors maximize ... Read Answer >> 
What do regulators think of Value at Risk (VaR)?
Read about the history of value at risk metrics, and learn how regulatory agencies played a role in their promotion and how ... Read Answer >> 
What is a "linear" exposure in Value at Risk (VaR) calculation?
Learn how the valueatrisk (VaR) calculation is used for portfolios with linear risk as opposed to nonlinear risk, and understand ... Read Answer >> 
What does Value at Risk (VaR) say about the "tail" of the loss distribution?
Learn about value at risk and conditional value at risk and how both models interpret the tail ends of an investment portfolio's ... Read Answer >> 
What are some common measures of risk used in risk management?
Learn about common risk measures used in risk management and how to use common risk management techniques to assess the risk ... Read Answer >> 
What's the difference between a confidence level and a confidence interval in Value ...
Learn about the value at risk, how confidence intervals and confidence levels are used to interpret the value at risk and ... Read Answer >>