8008 Exam Dumps | Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio?

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PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
PRMIA.8008.v2021-08-28.q125
Question 79

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Question 79/125

Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio?
(where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.) A)

A. Option A

B. Option B

C. Option C

D. Option D

Correct Answer: A

Explanation
Incremental VaR is the change in portfolio VaR resulting from a change in a single position. This is accurately described by VaR_(p+a) - VaR_p. The other answers are incorrect, and describe other concepts.
It is important to know and understand the ideas behind MVaR (marginal VaR), CVaR (component VaR) and iVaR (incremental VaR), and the differences between them.

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