Abstract: In this paper,we carry out a concrete decomposition on protfolio Value-at-Risk after presenting briefly the conception and computational method of protfolio VaR Following that,we deduce the estimative methods of the marginal VaR,component VaR and incremental VaR,which are held with the hypotheses of normal and non-normal distributions respectively,based on the mutual relationships of the three types VaR All these discussions provide more market risk information on protfolio for its managers.

Key words: Portfolio VaR, component VaR, marginal VaR, incremental VaR, estimation by conditional mean