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

[Jing Ren]

The mathematics is lacking rigor here and there, but the book is a REALLY enjoyable read once you have a strong foundation in stochastic calculus and more fundamental mathematics. The author knits various subjects beautifully together, in an intuitive way.

And while this is not my first time reading the book, I discover some more interesting things from it as my skills in more fundamental fields keep growing.

Also, the book is not expensive. You can even find many even cheaper second-hand copies which are almost new on Amazon. The printing and paper are amazing.

PS: I build risk models for my work. And the book never gets old for my work.

[Daniel Siliski]

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]

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.