Beyond Value at Risk : The New Science of Risk Management
Author: Kevin Dowd
List Price: $75.00
Our Price: Click to see the latest and low price
ISBN: 0471976229
Publisher: John Wiley & Sons (22 October, 1999)
Sales Rank: 111,082
Average Customer Rating: 4.22 out of 5
Customer Reviews
Rating: 4 out of 5
A concise treatment of VaR
The author goes right to the point. He explains well the VaR-related mathematics. There are a few mistakes, which would be easier to note if all derivations were provided. Overall, this is an excellent book.
Rating: 5 out of 5
Best book on VaR
When we went to implement a VaR system, the price tag was going to exceed seven figures. Needless to say, I didn't hesitate to drop some money buying the available books on VaR. They all say essentially the same things. For practical worked examples, you can't beat Butler. But unless you are an absolute beginner (do you know what delta and gamma are?) you may find it too basic. The all-round best book is Dowd. It is well organized and a pleasure to read. It covers the math, but without getting bogged down in meaningless derivations. For readers who want more information, there are plenty of references to original sources. I followed up on a number of these, and was pleasantly surprised at how easy some of this stuff is to assimilate.
Rating: 2 out of 5
Not for implementors.
The author has done good work in introducing the basic concepts in Value-at-Risk. However, the text leaves some important statistical and implementation points hidden, making implementing VaR look far too easy. For example, there is no discussion about the problems involved in long-term forecasting of correlations and volatilities.The much advertised "new distinctive investment approach", the so called "Generalized Sharpe Rule" is a rather naive treatment on classical risk/return analysis. However, the lack of mathematical rigour is well compensated with good references.
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