Risk Management: Market Risk Management

The Value-at-Risk Reference

For ten years, the publishers of RISK magazine have been trying to launch a scholarly Journal of Risk. They have little to show for their efforts other than ten years of painfully bad papers. This book gathers together some of these relating to value-at-risk (VaR) along with several other papers from RISK magazine. There is no indication of when specific papers were published. It can be disorienting to be reading a paper and have it gradually dawn on you it was published back in 1995! If you want to read a random selection of papers on VaR, visit the free Gloriamundi website ...

Introduction to Value-at-Risk

Moorad Choudhry
		2006

This short book evolved out of lecture notes the author developed for a professional training seminar he ran in 1998. By the author's own admission, he doesn't come from a risk management background, so he had to research his topic to prepare the seminar ... Read more

Asset and Risk Management

Esch, Louis, et al
		2005

This is a basic text on financial risk management. While it mentions topics such as credit risk and operational risk, it is primarily about market risk from a portfolio manager's perspective. That are chapters that describe the risks of bonds, equities and options. Other chapters describe portfolio optimization and arbitrage pricing theory. There are several elementary chapters on value-at-risk. Tucked at the back of the book, there is a chapter on ALM that blends traditional techniques with value-at-risk and related concepts ... Read more

Elements of Financial Risk Management

Peter F. Christoffersen
		2003

The year 2003 has witnessed the release of some groundbreaking books on market risk management offering a level of practical sophistication unseen in earlier books ... Read more

Measuring Market Risk

Kevin Dowd
		2004

Kevin Dowd has written an excellent introduction to VaR and related risk measures that will appeal to several audiences. The first two-thirds of the book are a non-technical treatment of market risk measures that will be accessible to all financial professionals ... Read more

Value-at-Risk
Theory and Practice

Glyn A. Holton
		2003

Six years in writing, this is the first advanced book on value-at-risk ... Read more

Financial Risk Management

Steven Allen
		2003

Allen's years of experience with JPMorgan Chase shine through with this practical and insightful text. While the book has brief chapters on credit risk and operational risk, it is primarily a text on market risk management ... Read more

Risk Budgeting

Neil D. Pearson
		2002

The term "risk budgeting" is used to describe various contexts in which VaR is applied to support investment decisions. In a multi-manager setting, individual managers can be given risk budgets. Asset allocation and portfolio optimization can also be performed in terms of risk budgets ... Read more

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Corporate Hedging in Theory and Practice

C. Culp and M. Miller (Eds.)
		1999

For corporations or trading organizations with energy/commodity exposures, the question of what risks to hedge and exactly how to hedge them is fundamental to corporate strategy. Using the Metallgesellschaft debacle as a focal point, Christopher Culp and Merton Miller have compiled a collection of important papers on corporate hedging ... Read more

Mastering Value-at-Risk

Cormac Butler
		1999

This is a nice basic introduction to VaR. It has plenty of worked spreadsheet examples. Little prior knowledge is assumed, and Butler literally walks readers through computations. Essential formulas are detailed, and there are plenty of line drawings to illustrate concepts ... Read more

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The Practice of Risk Management

Goldman Sachs and SBC Warburg
		1998

This is an excellent book. Jointly written by a team of professionals from SBC Warburg and another team from Goldman Sachs, it is a book by practitioners for practitioners. Focusing on market risk, the authors go behind the scenes ... Read more

Implementing Value-at-Risk

Philip Best
		1998

Philip Best offers a basic introduction to VaR that will be accessible to a wide audience. It covers linear, Monte Carlo and historical VaR measures in detail. It also offers insights into topics that more experienced readers will appreciate. For example, the book provides a more-than-passing discussion of principal component techniques. It also explains ... Read more