Hi,
I have problems interpreting a VaR and an MCR(marginal contribution risk) for an active portfolio (which is constructed with the weight of a portfolio minus the weight of a benchmark). If you have an interpretation for one asset of the MCR active portfolio (we can call it asset 1 with an MCR of 0.015)and for a VaR of 3% on the active portfolio it will be very wonderful because I need to do it but I really don't understand.
Hi Lucas,
You can read this paper on the Financial Interpretation of Risk Contribution. This might help.
Thanks!