Value at Risk: The New Benchmark for Managing Financial Risk

by Philippe Jorion

To accommodate sweeping global economic changes, the risk management field has evolved substantially since the first edition of Value at Risk, making this revised edition a must. Updates include a new chapter on liquidity risk, information on the latest risk instruments and the expanded derivatives market, recent developments in Monte Carlo methods, and more. Value at Risk, Second Edition, will help professional risk managers understand, and operate within, today’s dynamic new risk environment.

Genres: Finance, Business, Economics, Nonfiction, Textbooks

576 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.