Customer Reviews

Value at Risk: Theory and Practice

5 star:		(8)
4 star:		(1)
3 star:		(1)
2 star:		(1)
1 star:		(1)

 

 

This is one of the most refreshing Quantitative Finance books that have come along in the last few years. This book has been a work in process from the author for at least four or five years.

Glyn Holton's mathematical background and experience as practising risk managemer and consultant is thoroughly reflected in character of this book. The notation is consistent and logical, the mathematical/theoretical presentation is rigorous but accessible to pretty much all the intermediate/advanced undergrad students.

The emphasis is on the methodological process of building a model rather than directly presenting the final product itself. This is in contrast to most of the Value-at-Risk books on the markets which up to this point, have been written mainly by academics (University professors) rather than practitioners.

Throughout the book, Mr. Holton keeps emphasizing the duality of VaR metrics in terms of the exposure and the uncertainty of its underlying portfolio. And using the conceptual differences of these two components of risk as starting point, the relevant mathematical, probabilistic, and statistical background material are presented. For the exposure component of risk, Holton presented the mathemcatical mapping procedure; while for the uncertainty component, the conditional distribution characteristization of the risk factors are thoroughly investigated. This 'Bottom-up' analytical approach breaks down the VaR metrics into its 'atomical' parts. From there the VaR measure is methodologically built from the ground up. As result all the VaR models are presented under a uniform theoretical umbrella. This is in contrast with a 'disjointed list of VaR models' approach taken by most of the available literature up to this point. The result is a book suitable for beginners and advanced practitioners alike. Well done Glyn.

I work in finance as a software developer. I had done some work with risk management and had read Jorion's book and Butler's. When I had to do my own VaR implementation, a colleague recommended Holton's book. It is amazing. The level of domain expertise is above anything else out there. It is sophisticated and well written. I thought I knew about VaR before reading Holton, but I didn't really. Now I know about VaR.

I noticed that someone has been posting negative reviews of the book here on Amazon. Those reviews are blatantly dishonest. I assume they are posted by a jealous competing author.

Holton is the bible.

Glyn Holton's aim was to address the book to an extend hearing. In my opinion he fulfills his objective, this by itself is a great merit. Academic, students, practitioners will find the book very useful. Further, a same person will read the book more than once, while she progresses in her knowledge and she will always find something new in it. The novel methodology bottom-up presented in the book allows to understand VaR from its foundations and gives us a map to follow in any practical implementation. The exercises displayed at the end of each section, whose results are available on internet, are enlightening. The practical examples presented refer to cases and problems that must be solved in the real world. The use of the spreadsheet to solve the most complex examples covers the gap between the theory and its practice implementation , which is not very common in this type of books. If you are interested in VaR consider the purchase of this book a great inversion.

Holton presented VaR in a very accessible way. With the exercises provided online, whoever serious about VaR will be greatly benefit from it. The more times you read, the more you will be enlighten. Do with the reading and exercises at the same time if you stuck with any content, it helps! Monte Carlo is well presented. For EVT and Garch, can be easily found elsewhere, but what you can learn here is hardly found elsewhere.

If you are serious about VAR, then Holton's book should be on your bookshelf. It goes beyond the basics repeated in numerous introductory books. The more rigorous treatment here is for applying VAR, not just reading about the theory. The result is to give the reader a strong skillset to quantify risk across the various products and exposures in consistent and disciplined ways.

There are plenty of elementary books on VaR. This is an exception. It is a smart book for practitioners. It covers practicalities such as data cleaning, day counts and modeling intra-horizon events. It explains cutting-edge theory such as quadratic VaR, variance reduction techniques and holdings remappings. It introduces all the mathematics you need to know.

The prerequisites are modest -- about the same as for John Hull's book "Futures, Options and Other Derivatives." Holton does use some more advanced concepts, such as the Cornish-Fisher expansion or moment generating functions. He explains all of these before using them. Actually, he goes out of his way to make the mathematics accessible, devoting several chapters to explaining essential concepts. There are chapters on probability, statistics, the Monte Carlo Method, etc. Later in the book, whenever technical concepts come up, you will find an accompanying reference to an explanation in one of the earlier mathematics chapters. In this regard, the book is wonderfully self contained!

The author does make extensive use of matrix notation. This may take some getting used to if your background in linear algebra is limited, but it is worth it. Formulas that would be extremely complicated become simple when expressed with matrices. The author's notation is intuitive and used consistently throughout the book. If you see a symbol on page 10, it is going to mean exactly the same thing on page 310.

If you are serious about value-at-risk, this is the book to read.

The book is great in clear notation, real data examples as well as online solutions for readers with or without math background. It will be better to include some advanced theory such as Extreme Value Theory.

I own 6 different books on Value at Risk. Mr. Holton's book is the most comprehensive and insightful text of all six. If you're a serious student of VaR and really want to learn about it inside and out, buy this book.

the ultimate resource for VAR theory and practice.
excellent writing, math and all.
don't spend time and money elsewere, just buy it!!

You'll find this to be an excellent treatise on VaR that appeals to the risk professional as well as the academic. Concepts are clearly explained as well as how best to apply VaR techniques. It comes in handy when you need to explain VaR nuances to your boss or the head of the trading desk.