Marginal VAR Calculator
Adding an asset changes a portfolio’s risk by a specific dollar amount, and this calculator isolates it: enter the portfolio VaR you have now and the VaR after the change, and it returns the difference. One naming warning before you start: textbooks call this exact difference incremental VaR, and reserve marginal VaR for a per-dollar sensitivity. This page keeps the tool’s name and states both definitions openly.
Quick Answer
The calculator is pre-filled with a portfolio VaR of $120,000 rising to $135,000 after an asset is added, which returns Marginal VaR: $15000.00, exactly as the tool prints it, with no thousands separators. The added position increases portfolio risk by $15,000 on the VaR basis the two inputs share. Had the new VaR been $100,000 instead, the answer would be $-20000.00: the asset would be cutting risk, not adding it.
Key takeaways
- The math is one subtraction: new portfolio VaR minus current portfolio VaR. Everything else here is about making sure that subtraction means something.
- Both inputs must share the same confidence level, horizon and method. A difference between mismatched VaRs measures the settings, not the asset.
- A negative answer is good news: the position diversifies the portfolio and lowers total VaR.
- Blank fields count as $0 with no warning. An empty new-VaR field against a $120,000 portfolio returns $-120000.00, a fake diversification benefit.
- Quick Answer
- How to use the marginal VaR calculator
- The formula, and the naming problem you should know about
- Worked examples: four runs, including the two that warn you
- Where the two VaR numbers come from
- What competing calculators miss
- Limitations: what a single difference cannot tell you
- Frequently asked questions
- Add This Calculator to Your Website
- References
How to use the marginal VaR calculator
You need two VaR numbers for the same portfolio, before and after the position change, from whatever VaR model you already run. The calculator handles the difference and the sign.
- Portfolio VaR: enter the current total Value at Risk in dollars, for example $120,000 at 95% confidence over 1 day.
- New Portfolio VaR with Asset: recalculate the portfolio VaR with the proposed asset included, changing nothing else: same confidence level, same horizon, same method, same market data window.
- Click Calculate: a positive result is risk the position adds; a negative result is risk it removes; zero means the portfolio VaR did not move.
- To test a removal instead: put the with-asset VaR first and the without-asset VaR second. The sign flips, and the size of the negative number is the risk the position was carrying.
- Copy or share: both buttons sit in the results box and carry the two inputs plus the result line.
The formula, and the naming problem you should know about
The formula the tool runs is a plain difference between two portfolio VaRs. The formula textbooks attach to the words marginal VaR is a different object, and conflating them leads to wrong risk reports.
Marginal VaR (strict sense): the partial derivative of portfolio VaR with respect to position size, a per-dollar rate
Component VaR: strict marginal VaR × position size; all components sum exactly to total portfolio VaR
| Measure | Question it answers | What it needs |
|---|---|---|
| This tool's difference (incremental VaR in textbook terms) | How much does total VaR move if I add or remove this whole position? | Two full portfolio VaR calculations, before and after |
| Marginal VaR (strict) | How much does VaR move per extra dollar in this position? | Position sizes, volatilities and correlations, or a bump-and-revalue run |
| Component VaR | How much of the total VaR belongs to this position? | Strict marginal VaR multiplied by the position size |
Why keep the tool's name at all? Because the difference is what most portfolio decisions actually need: a desk deciding whether to add a position wants the total risk movement for that full position, not a per-dollar rate. The strict concepts matter when risk is being allocated back to desks or positions, where component VaRs that sum to the total are the accounting identity behind risk budgeting. The word marginal does the same work across economics, meaning the effect of the next small change; the marginal utility per dollar calculator uses it for satisfaction per dollar, while here it is risk per position change. Supervisors expect the underlying VaR models themselves to be validated and backtested, a discipline the Federal Reserve's SR 11-7 guidance on model risk management sets out for US banks, and the Basel Committee's supervisory framework for backtesting has required since 1996.
Worked examples: four runs, including the two that warn you
Every row is a real run of the calculator above. The first three are the sign cases in the stat cards below the table; the fourth is the input mistake that produces the most misleading answer this tool can give.
| Run | Portfolio VaR | New VaR | Tool prints | Meaning |
|---|---|---|---|---|
| Worked example: risk added | $120,000 | $135,000 | $15000.00 | Position adds $15,000 of VaR |
| Diversifier | $120,000 | $100,000 | $-20000.00 | Position cuts VaR by $20,000 |
| Removal test | $135,000 | $120,000 | $-15000.00 | Removing it would cut VaR by $15,000 |
| Blank second field (warning) | $120,000 | blank | $-120000.00 | Not a result: the blank counted as $0 |
A $15,000 risk increase is neither good nor bad on its own. It earns its place only if the position's expected return compensates for the extra tail risk, which is the comparison the portfolio performance calculator supports from the return side. At bank scale the same difference feeds regulatory capital: the Basel market risk framework that began with the 1996 amendment to incorporate market risks built capital on portfolio VaR, later tightened with stressed VaR in the 2009 revisions to the Basel II market risk framework, so a position that moves VaR moves the capital held against the whole book. The bank risk-based capital calculator works that capital arithmetic directly.
Where the two VaR numbers come from
This tool starts where VaR models finish. It does not estimate VaR from prices, volatilities or correlations, so the quality of the answer is capped by the quality of the two numbers you bring.
Three methods produce those numbers in practice. The variance-covariance (parametric) method assumes returns are normally distributed and builds portfolio VaR from volatilities and a correlation matrix; it is fast and the easiest to decompose into strict marginal and component VaRs. Historical simulation replays actual past returns through the current portfolio and reads the loss percentile off the sorted outcomes; it captures fat tails but only the ones history happened to include. Monte Carlo simulation generates thousands of priced scenarios from assumed distributions and reads the percentile off those. Whichever method you use, run both the before and after portfolios through it unchanged. The one thing never to do is take the first VaR from one method or confidence level and the second from another: the calculator will still subtract them, and the answer will look precise while meaning nothing. VaR also says nothing about how bad losses get beyond the threshold; that tail question belongs to expected shortfall, which averages the losses past the VaR point, a conditional expectation of the same family the conditional expected value calculator introduces.
What competing calculators miss
The rival tools for this keyword disagree with each other about the formula, and none of them warns about the blank-field trap:
- Calculator Doc's Marginal VaR Calculator: computes total VaR minus the individual asset's own VaR, a different subtraction with a different meaning. A standalone asset VaR ignores correlation entirely, so the result is not the change in portfolio risk, and its claim that the answer shows the effect of removing the asset does not follow.
- Calculator Ultra's Marginal VaR Calculator: the closest rival, with the same before-and-after difference, but its formula labels the inputs total VaR and initial VaR without requiring them to be the same portfolio on the same basis, and there is no warning that a blank field silently becomes zero.
- Savvy Calculator's Marginal VaR Calculator: estimates the change as current VaR multiplied by the percentage change in position value. That assumes VaR scales in direct proportion to position size, which throws away diversification: doubling a hedging position would double its VaR contribution in that formula while a full recalculation could lower total VaR.
- FasterCapital's marginal VaR guides: define marginal VaR correctly as a derivative-based sensitivity and describe delta-normal and historical methods, then offer no usable two-input tool, leaving readers with a definition they cannot run.
- The gap this page fills: the honest name for the difference, the same-basis requirement stated before the calculation rather than after, the removal test written as explicit steps, and the blank-counts-as-zero behaviour disclosed in the takeaways, the worked examples and the FAQs.
Limitations: what a single difference cannot tell you
The answer inherits every weakness of VaR itself. It is one percentile of a loss distribution: a 95% VaR of $135,000 says nothing about whether the worst 5% of days lose $140,000 or $1,400,000.
The difference is also a snapshot. Correlations rise in stressed markets, so a position that diversifies in calm data can add risk exactly when risk matters; the Basel reforms answered that with stressed VaR and later expected shortfall in the 2019 minimum capital requirements for market risk, and supervisors still track system-wide risk through exercises like the Bank of England's stress testing programme. Treat a reassuring negative result as a statement about the data window and model you used, not a permanent property of the asset. Finally, the tool accepts negative VaR inputs and subtracts them without complaint; a negative portfolio VaR is not a meaningful risk figure, so treat any result built on one as an input error, not an insight.
Frequently asked questions
Marginal VaR measures how much a portfolio's Value at Risk changes when a position changes. This calculator takes the simple difference, new portfolio VaR minus current portfolio VaR, so a move from $120,000 to $135,000 returns $15000.00. In formal risk textbooks the word marginal is reserved for a per-unit sensitivity, which the section above explains.
In textbook terms, it is not different: a full before-and-after difference for a discrete position is incremental VaR. Marginal VaR in the strict sense is the partial derivative of portfolio VaR with respect to position size, a per-dollar rate. Many practitioner tools, this one included, use the marginal label for the simpler difference, and this page keeps the two meanings separate instead of pretending they are the same.
A negative result means the new portfolio VaR is lower than the old one, so the added asset reduced total risk. That is the diversification benefit risk managers look for: the asset's losses tend not to coincide with the rest of the portfolio. A move from $120,000 to $100,000 returns $-20000.00.
The tool formats its answer with two decimal places and no thousands separators, so $15,000 prints as $15000.00. The value is identical; only the grouping differs. The copied results text keeps the same format.
A blank or non-numeric field counts as $0, with no warning. Leaving the new VaR blank against a $120,000 portfolio returns $-120000.00, which looks like a huge diversification benefit but is only a missing input. Check both fields before trusting a surprising result.
Yes. The subtraction is only meaningful when both figures describe the same portfolio basis: same confidence level (for example 95% or 99%), same horizon (for example 1-day or 10-day) and the same calculation method. Mixing a 1-day 95% VaR with a 10-day 99% VaR produces a difference that measures the settings, not the asset.
Yes. Put the current portfolio VaR, which includes the asset, in the first field and the recalculated VaR without the asset in the second. A portfolio at $135,000 that falls to $120,000 without the position returns $-15000.00, meaning removal cuts VaR by $15,000 and the asset was adding that much risk.
Component VaR is a position's share of total portfolio VaR, calculated as strict marginal VaR multiplied by the position size, and the components of all positions add up exactly to total VaR. This tool does not calculate it, because it never asks for position sizes, volatilities or correlations; it works only with the two portfolio VaR totals you supply.
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References
- Basel Committee on Banking Supervision, Bank for International Settlements. Amendment to the Capital Accord to Incorporate Market Risks (1996). Accessed October 22, 2026.
- Basel Committee on Banking Supervision, Bank for International Settlements. Supervisory Framework for the Use of Backtesting in Conjunction with the Internal Models Approach to Market Risk Capital Requirements (1996). Accessed October 22, 2026.
- Basel Committee on Banking Supervision, Bank for International Settlements. Revisions to the Basel II Market Risk Framework (2009). Accessed October 22, 2026.
- Basel Committee on Banking Supervision, Bank for International Settlements. Minimum Capital Requirements for Market Risk (2016). Accessed October 22, 2026.
- Basel Committee on Banking Supervision, Bank for International Settlements. Basel III: Finalising Post-Crisis Reforms (2017). Accessed October 22, 2026.
- Basel Committee on Banking Supervision, Bank for International Settlements. Minimum Capital Requirements for Market Risk (2019 revision). Accessed October 22, 2026.
- Basel Committee on Banking Supervision, Bank for International Settlements. Basel Framework: Market Risk (MAR) Standard. Accessed October 22, 2026.
- Board of Governors of the Federal Reserve System. SR 11-7: Guidance on Model Risk Management (2011). Accessed October 22, 2026.
- Board of Governors of the Federal Reserve System. Financial Stability Report. Accessed October 22, 2026.
- Bank of England. Stress Testing the UK Banking System. Accessed October 22, 2026.