12 of 12 people found the following review helpful
Great Book !,
This review is from: Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series) (Hardcover)
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.