摘要：Most financial institutions use credit value-at-risk (VaR) produced by Monte-Carlo simulation or analytical
approximation. While Monte-Carlo simulation needs large computational resources, and many approximation formulas
have been proposed. We discuss the granularity adjustment approximation, and apply it to calculating incremental
VaR. Through numerical experiments we show that we can obtain better approximation results by the granularity
adjustment formula concerning incremental VaR.
