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From the Back Cover
“This book provides a solid foundation for an understanding of Value at Risk from both an internal and a regulatory perspective, which should be invaluable as both an initial read and also as a continuing source of reference. Keep this by your side as a roadmap through the jungle of competing models, mathematical formulae and erudite statistics.”
- Dr Richard Flavell, Director, Lombard Risk Systems
“Cormac Butler has the distinct advantage of being a trainer in the subject, which is definitely the best assurance that he is fully up-to-speed in this complex and constantly changing field.”
- Dr D C Gardner, Chairman, Birchin International plc
The estimation of potential losses that could arise from adverse changes in market conditions is a key element of risk management. For financial institutions and corporate treasuries across the world, Value at Risk (VaR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets.
However, the communication and application of VaR is a field in which the signal to noise ratio is not high. There is neither a widespread intuitive understanding of VaR in the market, nor an appreciation of the practicalities of its implementation and limitations.
Mastering Value at Risk will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely.
Key topics examined include:
- A practical introduction to Value at Risk
- Value at Risk as a Tool in Supervisory Regulation
- A profile of VaR methods, how matrices are used to calculate VaR and a comparison of the variance covariance approach with other methods
- VaR on forward rate agreements
- The risk sensitivities of options
- Applying VaR principles to Credit Control
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Customer Reviews
It basically sets out how VaR is calculated, but in a highly accessible way (I've got a slightly dodgy A level in maths, and I could follow it) so that a non-statistician can cope. There is enough detail to be useful, but not so much that it doesn't make sense to the non-specialist. And it's written in plain English too, rather than a rather stilted management/risk-speak like some books. It also sets out the weaknesses of the different approaches (also invaluable to me as an auditor).
I am sure that there are plenty of better books if you want to plunge into the minutiae of the subject. But if you want to grasp the key issues, this is the best I have found so far.
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