Value at Risk: Theory and Practice

A great inversion - Glyn Holton s aim was to address the book to an extend hearing. In my opinion he fulfills his objective, this by itself is a great merit. Academic, students, practitioners will find the book very useful. Further, a same person will read the book more than once, while she progresses in her knowledge and she will always find something new in it. The novel methodology bottom-up presented in the book allows to understand VaR from its foundations and gives us a map to follow in any practical implementation. The exercises displayed at the end of each section, whose results are available on internet, are enlightening. The practical examples presented refer to cases and problems that must be solved in the real world. The use of the spreadsheet to solve the most complex examples covers the gap between the theory and its practice implementation , which is not very common in this type of books. If you are interested in VaR consider the purchase of this book a great inversion.

good - The book is great in clear notation, real data examples as well as online solutions for readers with or without math background. It will be better to include some advanced theory such as Extreme Value Theory.

One of the most refreshing QF books to come along - This is one of the most refreshing Quantitative Finance books that have come along in the last few years. This book has been a work in process from the author for at least four or five years. Glyn Holton s mathematical background and experience as practising risk managemer and consultant is thoroughly reflected in character of this book. The notation is consistent and logical, the mathematical/theoretical presentation is rigorous but accessible to pretty much all the intermediate/advanced undergrad students. The emphasis is on the methodological process of building a model rather than directly presenting the final product itself. This is in contrast to most of the Value-at-Risk books on the markets which up to this point, have been written mainly by academics (University professors) rather than practitioners. Throughout the book, Mr. Holton keeps emphasizing the duality of VaR metrics in terms of the exposure and the uncertainty of its underlying portfolio. And using the conceptual differences of these two components of risk as starting point, the relevant mathematical, probabilistic, and statistical background material are presented. For the exposure component of risk, Holton presented the mathemcatical mapping procedure, while for the uncertainty component, the conditional distribution characteristization of the risk factors are thoroughly investigated. This Bottom-up analytical approach breaks down the VaR metrics into its atomical parts. From there the VaR measure is methodologically built from the ground up. As result all the VaR models are presented under a uniform theoretical umbrella. This is in contrast with a disjointed list of VaR models approach taken by most of the available literature up to this point. The result is a book suitable for beginners and advanced practitioners alike. Well done Glyn.