Implementing Value at Risk (Wiley Series in Financial Engineering) [Hardcover]

Philip Best (Author)

Book Description

ISBN-10: 0471972053 | ISBN-13: 978-0471972051 | Publication Date: January 1999

Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment

Editorial Reviews

From the Publisher

"Value at Risk" (VAR) is a modeling method used to determine how much money an organization is putting at risk through its trading activities. Here, Philip Best, an expert on the subject, offers a comprehensive and detailed discussion on the many aspects of VAR. Best covers the evolution of Value at Risk, using VAR as a risk measurement technique, using VAR to control risk, historical simulation, and implementing VAR. Most importantly, the author shows how value at risk should be calculated and used most effectively.

From the Inside Flap

This book came about through a series of speeches given at industry seminars on Value at Risk and Stress Testing. Delegates and presenters often commented that the methods presented should be written down. This book is the realisation of those conversations and presents a framework for managing market risk using Value at Risk and its companion: Stress Testing. The disk at the end of the book contains Excel spreadsheet-based examples of the VAR calculations described in the book. The spreadsheets allow the main results presented throughout the book to be recreated by the reader.

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Product Details

• Hardcover: 222 pages
• Publisher: Wiley (January 1999)
• Language: English
• ISBN-10: 0471972053
• ISBN-13: 978-0471972051
• Product Dimensions: 9.1 x 5.8 x 0.8 inches
• Shipping Weight: 1.1 pounds (View shipping rates and policies)
• Average Customer Review: 4.0 out of 5 stars  See all reviews (2 customer reviews)
• Amazon Best Sellers Rank: #1,584,387 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

17 of 18 people found the following review helpful:

3.0 out of 5 stars AN AVERAGE VAR BOOK, September 1, 2000

By 

M. Hakan Erdem (Istanbul Turkey) - See all my reviews

This review is from: Implementing Value at Risk (Wiley Series in Financial Engineering) (Hardcover)

This book well explains what is Value At Risk and the concept of risk management in banks. Business concepts are complete. The author gives a lot of weight in risk control.

However, he lacks to give detailed examples on how to calculate VAR, the mathematics/statistics behind. Spreadsheets are nice but not complete from the beginning to the end. Important statistical methods are described without enough detail leaving the concepts out the book's scope.

8 of 14 people found the following review helpful:

5.0 out of 5 stars Very Useful Book on Implementing VAR, May 2, 1999

By 

Dr. Richard (Virginia USA) - See all my reviews

This review is from: Implementing Value at Risk (Wiley Series in Financial Engineering) (Hardcover)

This is a good book for a financial engineer's library. I found the spreadsheet examples particularly useful.