Customer Reviews

Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series)

5 star:		(5)
4 star:		(2)
3 star:		(1)
2 star:		(2)
1 star:		(1)

 

 

When we went to implement a VaR system, the price tag was going to exceed seven figures. Needless to say, I didn't hesitate to drop some money buying the available books on VaR. They all say essentially the same things. For practical worked examples, you can't beat Butler. But unless you are an absolute beginner (do you know what delta and gamma are?) you may find it too basic. The all-round best book is Dowd. It is well organized and a pleasure to read. It covers the math, but without getting bogged down in meaningless derivations. For readers who want more information, there are plenty of references to original sources. I followed up on a number of these, and was pleasantly surprised at how easy some of this stuff is to assimilate.

The author has done good work in introducing the basic concepts in Value-at-Risk. However, the text leaves some important statistical and implementation points hidden, making implementing VaR look far too easy. For example, there is no discussion about the problems involved in long-term forecasting of correlations and volatilities.

The much advertised "new distinctive investment approach", the so called "Generalized Sharpe Rule" is a rather naive treatment on classical risk/return analysis. However, the lack of mathematical rigour is well compensated with good references.

I think the book does a very good job in introducing every aspect of VaR. The "ENDNOTES" are very useful as it touches almost all recent ideas in the literature. The second appendix to chapter 6 is an excellent summary of recent research in VaR measurement. I took away one star because (1) My own bias toward mathematical details. The book ignores lot of technical details (2) The book devoted only 5 pages on historical simulation method. I think author could have said lot more about this topic. All in all, its a great book. If you are just diving into this exciting field of risk measurement, this is the best book.

Not too heavy on the maths, though there is enough here to fully understand the issues.

Give a history of VaR and explains its origins, then moves on to a comparison of the various calculation methods before considering its limitations and other tools to use alongside it.

Well worth a read for the VaR beginner and expert alike.

With the hype of 'risk management' technical books around one is so easily got confused by the title. This book seems to cover quite a bit of theory and development going beyond standard VaR methodology, i.e. joint log normality assumption on market factors etc, however the most crucial application: specific risk methodology, how to get to the tail of the distribution, backtesting techniques are not covered. Today's risk manager need to focus more on the real issues, and I don't think Mr Dowd's book can deliver that. OK for beginners, but not for real risk people.

The author has done good work in introducing the basic concepts in Value-at-Risk. However, the text leaves some important statistical and implementation points hidden, making implementing VaR look far too easy. For example, there is no discussion about the problems involved in long-term forecasting of correlations and volatilities.

The much advertised "new distinctive investment approach", the so called "Generalized Sharpe Rule" is a rather naive treatment on classical risk/return analysis. However, the lack of mathematical rigour is well compensated with good references.

A very simplified treatment of VaR. The author does not go beyond the normality assumptions in the VaR treatment. Hence, fat tails and skewness of distribution are ignored. Moreover, under the normality assumptions the financial decisions are mainly the same as in the mean-variance world. Finally, after the advent of the notion "coherent risk measure" everyone knows now that VaR is not a coherent risk measure. Consequently, VaR measurement is not topical nowadays.

The author goes right to the point. He explains well the VaR-related mathematics. There are a few mistakes, which would be easier to note if all derivations were provided. Overall, this is an excellent book.

I would like to recommend this book to MBA/MS Finance students, academic researchers, and risk professionals. This is an excellent book on VaR and other risk management techniques.

Facing the fast development of modern financial world, in academic and practical sense, it is usually hard for me to make comments about the volume of a book in the field of risk management. Mr.Dowd's work is a very one in this area, by its timing and contents.

Thank you , Kevin! Say something more about VaR.