Customer Reviews

Mastering Value Risk: A step-by-step guide to understanding & applying VAR

5 star:		(5)
4 star:		(2)
3 star:		(6)
2 star:		(1)
1 star:		(0)

 

 

Good Points:-
1) Simple math; good for beginners;
2) Practical; you can develop your own simple model;
3) Thin; it will only takes you three weeks to read and develop a model for yourself to see;
4) With simple examples to demonstrate key concepts; and
5) Most relevant concepts are included.

Bad Points:-
1) Not enough details for immediate/advanced learners;
2) Does not explain why each step is necessary & how the formula or assumptions behind each step; and
3) The question of "how a bank actually calculates a VaR" is left unanswered. That is, implementation part is not discussed.

Mastering Value at Risk is 80% practical and 20% theoretical. However, there are a lot of mistakes, specially printing and calculation mistakes. For example, page 24, 25, etc. ambiguous exercises. I require professional solved cases and applications of the real world. Back testing and stress testing themes present a poor development.

There is a great practical case on EWMA, but it can not be compared to GARCH model, because there is not a practical case on GARCH. There is no useful application. This model is only mentioned and explained theoretically. On the other hand Montecarlo Simulation presents a certain confusion. It's unclear and imprecise.

Finally, at the end of the book an address and e-mail are written in order to make contact with the author, but such an e-mail doesn't exist. It was impossible for me to contact Cormac Butler by means of that e-mail. Besides, there is a website in order to send your questions and queries named answerback.org. It was not possible for me to access this website.

Well, the book is good for a reader used to calculate VaR, not for beginners, because of printing errors and calculation mistakes. You must to identify them before to continue the next lesson and theme. Well, my rating to this book is 3 stars.

If you are new to the VaR, this book is the best one which will enable you to grasp the issue well. All explanations are starting from the introductory level through practice. I strongly recommend it. Moreover, some printing errors attributed to this book seem to have been corrected in the second edition which is on sale by amazon. com.

The book is well written by the author. However, the proof reader and the publisher may be the most irresponsible for allowing too many printing error to appear in the book.

It is a waste of time to read too many rubblish error in the book. If a reader is innocent and new to the VAR, then he might be mislead by the book.

Without referring to the error, this book is a must-read for a basic understanding of VAR, esp students, new market risk professional who is new to the concept of VAR. Three cheer to the author.

Definitely a good book but publisher should take more care in checking before it goes on print. The book is full of careless mistakes and printing errors. As this book is also targetted at the novice, more responsibility is required. Esle the poor reader would spent many hours figuring out why one plus one doesn't equal two. So tedious and unfruitful. I would personally like the publisher to give me a free copy of a reprint without those errors as I spent many of those hours correcting those mistakes in the book.

There are a number of errors in the book, thus making it very hard to get through. Additionally, I spoke to the publisher and there is NOT a second edition of this book available yet - so don't bother with the book. I was also surprised there is nowhere to get copies of the spreadsheets from on the web!!

A note to Mr. Butler - please take a note from Scott Meyers or Bruce Eckel who publish errata web pages.

The other reviewers are correct about the errors. The results of Mr. Butler's formulas sometimes don't match the formulas themselves which in turn don't match his results in the spreadsheets. Also, the grammar, particularly the punctuation, leaves much to be desired. This book had either a poor editor or no editor.

However, Mr. Butler is the only author to write a book that shows actual real-world VaR calculations. The other books give plenty of theory, but never enough detail to enable you to do your own VaR calculations. So until something similar and better comes along, this book will have to do. And really, the errors in the spreadsheets are not that hard to spot if you just follow the text and if you are aware that the errors are there.

This book would have been 5 stars if it had been edited and proofed properly. There are *FAR* too many errors. I would still recommend that one purchase and read this book, which is a good introduction to VaR for the uninitiated, but the error count is just ridiculous. There are significant errors nearly every other page.

There are:

* currency sign errors, which render examples meaningless;

* repeated formula errors, which require the reader to guess the correct formula;

* text errors, which change the meaning of the sentences to their exact opposite;

* errors in punctuation;

* errors in grammar;

* numerical errors in the text next to examples that show the correct numbers.

If there were going to have been a second edition, it would already be out by now, so I'm not hopeful that a new edition will appear to correct the many errors.

I am QUITE surprised that the author doesn't have an errata page at the website he put up for questions on this book at [...]

File this book under "Failed Potential".

I'm chemical Engineer and I'm working on my thesis on to get the Master in Sc. I had no clue in VaR, this book help not only to understand it but to apply it further pure finances.

Liked the book very much. Excellent organization and presentation. Very carefully written and to the point. Practical examples spread around the theory. Highly recommended.