Value At Risk: The New Benchmark for Managing Financial Risk

by Philippe Jorion

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include:

An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students.

Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems.

The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

Genres: Finance, Business, Economics, Nonfiction, Textbooks

602 pages, Hardcover

First published January 1, 1997

About the author

Philippe Jorion is Professor of Finance at The Paul Merage School of Business at the University of California at Irvine.

Reviews

[Daniel Siliski · Rating 2 out of 5]

My personal opinion: google Value At Risk, find a few models, and try implementing them in the coding language of your choice. Far better than this overly academic treatment of the subject that will add little value for practicitioners. (FWIW, I was a derivatives hedge fund risk manager for 10 years and have spent a good deal of time working with VaR. I bought this book early in my career hoping it would help my modelling skills, but it didnt.) Two stars instead of 1 because at least this book is encyclopedic in its treatment of VaR across the board.

[Richard · Rating 4 out of 5]

Even if the VaR method, strictly speaking, isn't the best means of measuring "risk", the way this book develops the idea and places it in context is quite good.