Customer Reviews

Value at Risk: The New Benchmark for Controlling Derivative Risk

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

 

 

This provides an excellent overview and introduction to VaR and issues surrounding it. A must read for any body involved with financial risk management.

Jorian clearly has practiced before he began to preach. I found his work to be essential in designing and implementing a var methodology for the electricity forward market. The examples he gives of the failures to measure and control risk are illuminating and entertaining. I have recommended the book to others and they have agreed that the book is excellent.

As a professional trader and fund manager of over $100 million in assets, I find the book very informative and in depth and at the same time easy to understand. I have made it a requirement for all my traders and managers to read the book. We have become even more risky and daring now!

I am equity trader and I find this book very useful in terms of market risk management

Cannot think of any other book that gives you the basics and beyond of VAR. As an MBA student I liked most the practical examples. Mathematical stuff is kept to a minimum, even though it can be sometimes quite demanding. Jorion is one of the laeding academics on VAR. He "defends" the properties of VAR very well after some criticism on VAR (see Nassim Taleb's web page).

Dr. Jorion's book formally introduced the concept of VaR to me several years ago. It's written so that a novice in risk management can understand the concepts with ease.

A great book.

This is one of the first books about VaR and so became widely used and read by everyone interested in market risk management. Good as an introduction and to have a good overview of VaR but if you need more detailed information this book will not give you the answers.