Marginal VaR
The incremental VaR contributed by adding one more unit of a position.
Marginal VaR measures how much portfolio VaR changes when you add $1 (or 1 unit) of a specific position. It answers: 'If I increase my Apple position by $1M, how much does my portfolio VaR increase?' Use: Risk budgeting — allocate risk to positions with the best return-per-unit-of-marginal-risk. Diversification insight: Marginal VaR can be negative—adding a position that's negatively correlated with the portfolio reduces total VaR. For example, adding bonds to a stock portfolio might have negative marginal VaR due to diversification. Component VaR: Marginal VaR × Position Size = Component VaR (each position's contribution to total VaR). Sum of all component VaRs = Total Portfolio VaR.
DV01
Dollar change in value for a 1 basis point (0.01%) yield move.
CS01
Dollar change in value for a 1 basis point move in credit spread.
Macaulay Duration
The weighted average time (in years) to receive the bond's cash flows.
Modified Duration
Measures the percentage price change for a 1% yield change.
Convexity
Measures the curvature of the price-yield relationship — how duration itself changes.
Stress Test (Rate Shock)
Estimates impact of large yield moves using duration and convexity.