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Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, by Philippe Jorion
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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:
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.
- Sales Rank: #666731 in eBooks
- Published on: 2006-11-09
- Released on: 2006-11-09
- Format: Kindle eBook
About the Author
Philippe Jorion is a professor of finance at the University of California, Irvine. Editor in chief of the Journal of Risk, Jorion is a consultant to institutions including PIMCO, the World Bank, AIMR, the Federal Reserve, and the United Nations.
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This book was rushed into print following the release of JPMorgan's landmark RiskMetrics description of VaR. Like RiskMetrics, its focus is on explaining VaR to corporate end users. For a while, it was the only book available on VaR, so it became well known. A second edition added material on topics other than VaR, but did not update the treatment of VaR. By today's standards, the book is dated.
Now there are a number of excellent books available on VaR, and these cater to various audiences. Depending upon what you are looking for, they offer a more accessible, more sophisticated, or more up-to-date treatment of VaR.
For an elementary introduction, you can't beat Butler. Downplaying theory, he shows you practical spreadsheet examples you can use to implement basic VaR models. He explains related topics, such as probability distributions, delta and gamma, and the Monte Carlo method, so the book is self-contained.
Marrison's "Measuring Market Risk" describes VaR in the context of bank risk management. More sophisticated than Butler, this is a practical, "real world" book for people starting in bank risk management. Marrison ties VaR together with topics such as capital allocation, credit risk modeling and asset-liability management.
Holton is written for practicing risk mangers or researchers. Before it even publishes, it has made a splash on trading floors where dog-eared preprint copies have become a coveted item. Holton explains in detail things like delta-gamma VaR and variance reduction for Monte Carlo VaR -- topics other books only mention. Also, Holton is the only book that offers exercises.
For use of VaR in investment management, see Pearson's "Risk Budgeting." It introduces VaR and then explains how it can be used to allocate assets between investment categories or among managers -- this is known as risk budgeting. The focus of the book is a technique from calculus that allows you to decompose risks so that the parts sum to the whole. There isn't much else written on this topic, and Pearson offers the best treatment that I know of.
Finally, there is Dowd's "Beyond Value-at-Risk." This provides an excellent survey of the literature on VaR. It also covers related risk management topics, including credit risk management and risk-adjusted performance measurement.
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