Beyond Value at Risk: The New Science of Risk Management (Wiley Series in Financial Engineering)

By Kevin Dowd

Book Overview

Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including: * How to implement VaR and related systems in the real world * How to make vital investment decisions and estimate their effect * How to make hedging decisions * How to manage a portfolio It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.

• Format: Hardcover
• Language: English
• ISBN: 0471976210
• ISBN13: 9780471976219
• Release Date: April 1998
• Publisher: John Wiley & Son Ltd
• Length: 274 Pages
• Weight: 1.50 lbs.
• Dimensions: 10.0" x 1.0" x 7.0"

Customer Reviews

Best book on VaR

When we went to implement a VaR system, the price tag was going to exceed seven figures. Needless to say, I didn't hesitate to drop some money buying the available books on VaR. They all say essentially the same things. For practical worked examples, you can't beat Butler. But unless you are an absolute beginner (do you know what delta and gamma are?) you may find it too basic. The all-round best book is Dowd. It is well organized and a pleasure to read. It covers the math, but without getting bogged down in meaningless derivations. For readers who want more information, there are plenty of references to original sources. I followed up on a number of these, and was pleasantly surprised at how easy some of this stuff is to assimilate.

Must-Read Book for anyone interested in Risk Management

Best book on VaR to date. Clear, concise, self-contained. Perfect combination of rigurous theory with practical applications. The author has done an excellent job at distilling what is relevant in Risk Management. This book is better than all the other VaR books written so far combined.

Compact, Comprehensive, Competitive. Well done.

Facing the fast development of modern financial world, in academic and practical sense, it is usually hard for me to make comments about the volume of a book in the field of risk management. Mr.Dowd's work is a very one in this area, by its timing and contents.Thank you , Kevin! Say something more about VaR.

An excellent textbook for risk professionals

I would like to recommend this book to MBA/MS Finance students, academic researchers, and risk professionals. This is an excellent book on VaR and other risk management techniques.

An excellent and comprehensive Value at Risk book

Not too heavy on the maths, though there is enough here to fully understand the issues.Give a history of VaR and explains its origins, then moves on to a comparison of the various calculation methods before considering its limitations and other tools to use alongside it.Well worth a read for the VaR beginner and expert alike.