Component VAR will generally be less than individual VAR because of the diversification benefits at the portfolio level. In a large portfolio with many positions, the approximation is simply the marginal VAR multiplied by the dollar weight in the position.
Incremental VAR is the change in VAR from the addition of a new position in a portfolio.
Individual VAR is the VAR of an individual position in isolation.
Marginal VAR applies to a particular position in a portfolio and it is the per unit change in a portfolio VAR that occurs from an additional investment in that position.
