This is a basic introduction to VaR that covers linear, Monte Carlo and historical VaR measures in detail. When it first came out, it offered a refreshing alternative to existing books, which largely mimicked the tone of the RiskMetrics documentation. It also addressed certain topics that neither RiskMetrics nor existing books addressed. These included a more-than-passing discussion of principal component techniques. It also explained how to "fix" non-positive-definite covariance matrices.

Today, the book is out of date. Compared to a new generation of books on market risk management—including Dowd (2002), Holton (2003), and Allen (2003)—it has little to recommend it.