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Hard · risk_management · Quant Researcher interview question · marginal_var, risk_budgeting, value_at_risk, portfolio_sensitivity, risk_management
Marginal Value-at-Risk (MVaR) measures the sensitivity of portfolio VaR to a change in a specific asset's weight, representing the partial derivative of VaR with respect to that weight. This provides a per-unit risk contribution that is independent of the current position size. In quantitative finance, MVaR is crucial for risk budgeting, setting position limits, and performing what-if scenario analysis. Task Implement the function marginal_var_contribution(weights: list, cov_matrix: list, alpha