Value at Risk: The New Benchmark for Controlling Derivative Risk

by Philippe Jorion

Do you take the chance of creating and amplifying risk when you are simply attempting to understand and control risk? In Phillippe Jorion's Value at Risk, learn the specifics of the value-at-risk system, the risk management program that today's leading banks and financial firms use to calculate and track financial risk. Value at Risk is the first book to thoroughly explain this increasingly influential system, which allows you to gauge financial risks and take proactive steps to control those risks.

Genres: Finance, Business, Economics, Nonfiction, Textbooks

332 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.