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Title: Value at Risk: The New Benchmark for Managing Financial Risk by Philippe Jorion ISBN: 0-07-135502-2 Publisher: McGraw-Hill Trade Pub. Date: 17 August, 2000 Format: Hardcover Volumes: 1 List Price(USD): $75.00 |
Average Customer Rating: 2.94 (18 reviews)
Rating: 1
Summary: No longer useful
Comment: The first edition was for a while the only book on the subject. As such, it had to be the best. But, at that time, RiskMetrics VCV approach was the only approach. Jorion analyses this approach in detail, and derives many results (for example, attributing risks, etc.). He then implies by omission that they work for other methods, they don't. He also implies by omission that RiskMetrics is the absolute greatest, it isn't - it's probably now the weakest method. Surveys show that now only 10% of banks worldwide are using this method - and the numbers are falling.
There is nothing about coherence, the problems with VaR, the fundamental problems with using it to allocate risks to portfolios...
There was no reason to bring out a new edition.
Rating: 4
Summary: Good Book for sophisticated investment analyst
Comment: Good Book for sophisticated investment analyst
Rating: 4
Summary: Value at Risk
Comment: The financial and banking sectors have changed dramatically over the last two decades. The traditional commercial banks are shying away from loans and relying on riskier (??) products such as derivatives to bolster the income. Non-bank financials have been consistently adding products and product lines to their inventory (insurance & loans??). As these firms change themselves, their need for risk measurement and management has also increased which in turn has driven the advances and increased focus on Value at Risk type concepts during this time.
Despite improvements in measuring risk the newspapers are full of stories where risks have been mismanaged. Jorion?s introductory chapters on risk management failures are good at proving why risk management is important. I think beginners would find the chapters that define the different types of risks (credit, liquidity, operational, legal & market), the role of VaR in regulatory capital measurements, and the first part of the VaR discussion as being useful. The chapters that specifically deal with credit, operational, and liquidity risks are also important though the author does not cover these topics as deeply as he covers VaR.
I understand that this book used to be the bible for managing financial risk. I still think it?s an extremely useful book, but agree with some of the other commentators that it could have been more than it is. With an industry that changes as quickly as the financial sector you?d hope for some more detail on current trends and events besides Basel II. (Role of new products such as credit derivatives? Do firms really care about incremental VaR or Marginal VaR, and if they do when? When is it practical to use? How do firms use it? Who are the current leaders in the techniques?). I would also have liked to see more on reputational risk (how do firms decide if a product is appropriate for a client? how would the public perceive a firm?s transactions with a particular client? Enron and WorldCom are current examples).
The difficulty in writing about this subject is that it?s very easy to be too complicated and detailed for beginners but not complicated or detailed enough for professionals. For example, beginners may have difficulties with the material if they don?t understand basic financial concepts, but professionals are probably looking for more specifics on how these concepts are applied for specific products. I?d imagine that there aren?t many readers in that middle ground. This book is definitely geared more towards the professional.
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Title: Risk Management by Michel Crouhy, Robert Mark, Dan Galai ISBN: 0071357319 Publisher: McGraw-Hill Trade Pub. Date: 30 October, 2000 List Price(USD): $70.00 |
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Title: Options, Futures, and Other Derivatives (5th Edition) by John C. Hull ISBN: 0130090565 Publisher: Prentice Hall Pub. Date: 03 July, 2002 List Price(USD): $141.00 |
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Title: Risk Budgeting: Portfolio Problem Solving with VaR by Neil D. Pearson ISBN: 0471405566 Publisher: John Wiley & Sons Pub. Date: 18 January, 2002 List Price(USD): $79.95 |
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Title: Schaum's Outline of Probability and Statistics by Murray R. Spiegel, John J. Schiller, R. Alu Srinivasan, Alu Srinivasan ISBN: 0071350047 Publisher: McGraw-Hill Trade Pub. Date: 17 March, 2000 List Price(USD): $16.95 |
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Title: Fixed Income Securities: Tools for Today's Markets, Second Edition by Bruce Tuckman ISBN: 0471063177 Publisher: John Wiley & Sons Pub. Date: 16 August, 2002 List Price(USD): $69.95 |
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