Marginal value at risk (marginal VaR)

[manchesterunitedvind]

Great video.. Thanks David..

[srikbond]

hi david,

i noticed something with the excel sheet for this exercise - portfolio var.xls. the non-diagnol elements of the var-cov matrix are supposed to contain the covariances, right? but in the file, the cells D12 & E11 have just been assigned the value of the correlation from cell D9. perhaps you forgot to multiply it with the individual standard deviations? correct me if i'm wrong.

[shkdgg]

brutal