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Value at Risk The New Benchmark for Managing Financial Risk
ISBN: 0071355022     Date Published: 2000-08-17     Author(s): Philippe Jorion
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Hardcover
McGraw-Hill
544 Pages
 
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06/20/2013 01:24:13
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Editorial Review - Book Description:
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.

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.
 
Customer Review:
Total Reviews: (19)
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129 of 130 People found the following review helpful.

Better Alternatives, February 13, 2003 By A Customer This review is from: Value at Risk: The New Benchmark for Managing Financial Risk (Hardcover) 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...
 
25 of 26 People found the following review helpful.

Shallow, March 20, 2001 ByJane Marsh (LA) - See all my reviews This review is from: Value at Risk: The New Benchmark for Managing Financial Risk (Hardcover) Based upon its marketing, this book over-promises and under-delivers. Yes, the author uses big words like "autoregressive conditional heteroskedasticity." He also tosses around: "principal component analysis", "importance sampling" and "Quasi Monte Carlo." Anyone who needs to understand these concepts will be disappointed. The explanations are shallow ... often just a single paragraph. The reader is left with an elementary book that adds little to the original RiskMetrics document. If you are new to VAR, I recommend Dowd. For more experienced professionals (especially those who need to implement a VAR system) you will need to read the original literature.
 
16 of 17 People found the following review helpful.

No longer useful, November 22, 2003 ByGP West FMA (Johannesburg, Gauteng South Africa) - See all my reviews This review is from: Value at Risk: The New Benchmark for Managing Financial Risk (Hardcover) The first edition was for a while the only book on the subject. As such, it had to be the best. But, at that time, RiskMetrics VCV approach was the only approach. Jorion analyses this approach in detail, and derives many results (for example, attributing risks, etc.). He then implies by omission that they work for other methods, they don't. He also implies by omission that RiskMetrics is the absolute greatest, it isn't - it's probably now the weakest method. Surveys show that now only 10% of banks worldwide are using this method - and the numbers are falling.There is nothing about coherence, the problems with VaR, the fundamental problems with using it to allocate risks to portfolios... There was no reason to bring out a new edition.
 
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