Value-at-risk

Good summary of the new BIS rules, but the review of understanding marking-to-model is sketchy, inconsistent, and rife with too many pseudo-graphs and footnotes to his own books and articles.

I stopped reading this book after the first 7 chapters. It's easy going conceptually, but manages to be very irritating for the following reasons: The "definitions" are often confusing and unilluminating, although the examples that follow generally manage to get the idea across. There are also a large number of mathematical errors, which I was able to clear up only because I'm already familiar with the essentials of VaR. As a first introduction, the book is therefore useless. Perhaps the remaining 10 chapters of the book are of sterling quality -- to hedge against this eventuality I award two stars, rather than just one -- but I will be seeking another source.

[And shame, shame, shame on Wiley Finance's editors. Apart from the above errors, here are just two howlers that prove that the book was published before anybody read it: "Neper's number" for e (Napier?), "phenomene" as plural of phenomena (which would have made a kind of grammatical sense weren't it for the fact that phenomena is alread the plural of phenomenon.) No doubt Wiley Finance believes that sales are unaffected by reputation.]

This book is a detailed and meticulous presentation of the calculations involved in Value at Risk (VaR) measurement. According to authors Pietro Penza and Vipul K. Bansal, Value at Risk is one of the most popular approaches to measuring the risk of harm to financial portfolios. It is a valuable institutional tool. Be aware, though, the book's message and how-to assistance will seem generally irrelevant to individual investors, except for a handful of extremely high net worth individuals at the top of the Forbes 400. Its calculations are beyond the ken of most non-mathematicians, but they will intrigue the right audience. We find this book to be a useful addition to the libraries of professional investors, bankers or risk managers, particularly those with highly developed analytical skills and a certain degree of comfort with financial engineering. Some other financial managers and lay readers will find useful information here, though they may need to walk on tiptoes through those sections of the content that are over their heads.

Penza and Bansal has done a good work on making a whole picture of Market Risk Measurement. With the clear explanation, it helps the beginners to quickly grasp the concept on Market Risk Measurement. It is well organized in 16 chapters, beginning with a few chapters on financial risk management in banking, including a review on the traditional Asset/ Liability Management. The review on Mathematical and statistical techniques is very well described. The authors also explained the analysis of pricing financial assets, including Fixed-income, equity, and derivative. Finally, they show the common methodologies to calculate VaR-Parametric, Historical Simulation and Monte Carlo Simulation.

I considered this book as a good literature review on Value at Risk, but not the step-by-step one. It provides complete set of formulas but too few examples. I recommend for beginning- and intermediate-level readers who want to know the overall concept of Value at Risk.

This book well explains what is Value At Risk and the concept of risk management in banks. Business concepts are complete. The author gives a lot of weight in risk control.

However, he lacks to give detailed examples on how to calculate VAR, the mathematics/statistics behind. Spreadsheets are nice but not complete from the beginning to the end. Important statistical methods are described without enough detail leaving the concepts out the book's scope.

This is a good book for a financial engineer's library. I found the spreadsheet examples particularly useful.

Working in the banking industry I was turned on to this book by a colleague and what a colossal waste of time reading this was. The vast majority of this book's models are outdated and if Mr. Saunders was trying to write a historical piece he has accomplished that in spades. Nothing in this book is relevant and it is obvious the esteemed Mr. Saunders lent his name to a very poor book that he probably should have glanced through if not read. Linda Allen should probably get some real world experience because she is wasting people's time with her research.

This book reviews concepts that have been around for more than 10 years and well published in articles. Perhaps it pulls it all together in book form, but even so, it is dated. It is light on credit derivatives and the exploding market in synthetic securitizations driven by credit derivatives. These products introduce structured credit risk (and hedges) to banks and investors.

The reader will need to buy "Credit Derivatives and Synthetic Structures" by Tavakoli to get insight into these products.

I have a copy of this book. It covers popular credit risk models and things like RAROC, etc. These concepts have been discussed extensively in the industry but I assume this is the first in the book form. The book does a good job in presenting basic ideas. However, if you are looking for technical details, you best bets are still the original technical documentations (CreditMetrics, CreditRisk+, KMV, etc). Nevertheless this book is a useful survey of the current stable of models. Besides, it is not very expensive.

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.

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.

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.