Value at Risk: The New Benchmark for Managing Financial Risk
Author: Philippe Jorion
List Price: $75.00
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ISBN: 0071355022
Publisher: McGraw-Hill Trade (17 August, 2000)
Sales Rank: 20,659
Average Customer Rating: 2.94 out of 5
Customer Reviews
Rating: 3 out of 5
Seduced by VAR
This book takes a statistical approach to risk management, but the approach is dated. Risks of many products such as exotic options and credit derivatives cannot be adequatley measured by value-at-risk (VAR) conventional methodology.
The subject of credit derivatives is comprehensively - and well- covered in "Credit Derivatives and Synthetic Securitization" by Tavakoli.
Rating: 1 out of 5
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.
Rating: 4 out of 5
Good Book for sophisticated investment analyst
Good Book for sophisticated investment analyst Similar Products
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