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Beyond value at risk. The new science of risk management. (English) Zbl 0924.90013

Chichester: Wiley. xii, 274 p. (1998).
Value at risk (VaR) is the maximum amount one expects to lose over some target period. As a part of the portfolio theory the VaR approach offers techniques and guidelines how the maximum likely loss can be can be calculated quantitatively in a firm-wide risk management.
The book provides an overview of VaR, separated into three parts. Part one starts with an introduction, discussing the origins of VaR as well as the basic principles of this approach. Measurement of VaR covers the second part, presenting alternative procedures such as the variance-covariance approach, historical simulations, and Monte Carlo simulations. In the final chapter of the second part testing principle are discussed. The third part deals with risk management issues from a VaR perspective. Two chapters are devoted to decision-making rules, such as investment and hedging rules. In the following chapters special emphasis is put on the handling of credit risks, liquidity, operational and legal risks. The last topic dealt with in the book relates to firm-wide risk management.
The book is written for practitioners in risk management, for students in MBA and MA courses as well as for academics interested in risk management issues. The material presented in the book requires some basic knowledge in statistics and mathematics and some prior knowledge of finance, most particularly of derivatives and of fixed-income theory.

MSC:

91B28 Finance etc. (MSC2000)
91B30 Risk theory, insurance (MSC2010)
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