 |
Value at Risk: The New Benchmark for Managing Financial Risk| Media: | Hardcover | | Author: | Philippe Jorion | | Publisher: | McGraw-Hill | | Release date: | 17 August, 2000 | | List price: | $75.00 |
| Our price: | $44.89 that is 40% off! |
|
|
| Value at Risk: The New Benchmark for Managing Financial Risk |
|
Average rating:  | |
PR for VaR |
| I began using this book as part of my audit job at a major trading/investment firm. I'm currently an FRM candidate, and this is the FRM-recommended book for a bulk of readings on VaR methods and implementation. The first few chapters are a general survey of the risk management world, and informative by themselves. Unfortunately, that's where it stops. As the book starts to dive deeper into VaR, the ideas quickly become disjointed, incoherent and difficult to follow - I have a mathematical background, but it is very frustrating to have to read repeatedly to try and decipher entire sections of the book, especially the whole chapter on backtesting. While VaR as a concept is easy to grasp, the devil is very largely in the details, which this book fails to present in any organized way. So, it is more like an advertisement for the idea of VaR-based risk management, but certainly not a practical guide. |
| Value at Risk: The New Benchmark for Managing Financial Risk - Philippe Jorion |  |
No longer useful |
| The first edition was for a while the only book on the subject. As such, it had to be the best. But, at that time, RiskMetrics VCV approach was the only approach. Jorion analyses this approach in detail, and derives many results (for example, attributing risks, etc.). He then implies by omission that they work for other methods, they don't. He also implies by omission that RiskMetrics is the absolute greatest, it isn't - it's probably now the weakest method. Surveys show that now only 10% of banks worldwide are using this method - and the numbers are falling. There is nothing about coherence, the problems with VaR, the fundamental problems with using it to allocate risks to portfolios...
There was no reason to bring out a new edition. |
| Philippe Jorion - Value at Risk: The New Benchmark for Managing Financial Risk |  |
Good Book for sophisticated investment analyst |
| Good Book for sophisticated investment analyst |
| Greatest Bookstore Store |
| | Similar products | | Golf Netting | Salem Civic Center | Despair.com | Restorer2000 | Fixed Annuity Rates
Epson Stylus Color 640
|
|
