The Value-at-Risk Reference - Risk Books
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The Value-at-Risk Reference

Edited By Jon Danielsson


A one-stop reference pulling together leading published research and analysis about VaR and market risk. An invaluable summary for practitioners and researchers looking for an independent evaluation of VaR and insight into how and when it should be used.

Publish date: 1 Aug 2007

Availability: In stock


Book description

An increasing number of institutions in both developed and developing markets are adopting quantitative risk models for both competitive and regulatory reasons. For market risk, such models are based on value-at-risk (VaR) techniques. VaR is commonly used to measure how much the market value of an asset or a portfolio of assets is likely to decrease over a certain time period.

As banks and financial institutions increasingly rely on VaR to measure the market risk of their asset portfolios, these companies need an ever larger number of employees with experience in such models. In many cases, staff with technical experience are promoted to market risk functions with minimal knowledge of the subject.

The VaR Reference pulls together leading published research and analysis about VaR and market risk, making this a one-stop reference for both practitioners and researchers. The eminent contributors present a broad spectrum of outlooks and discuss the pros and cons of the various methods for market risk modelling. This is an invaluable summary for practitioners looking for an independent evaluation of VaR and how and when it should be used.

This in-depth volume focuses on regulations, modelling, and methodologies. Key areas discussed include:

  • Defining VaR and where and why it is used;
  • The pros and cons of VaR measurements;
  • Alternative risk measures and why they are not popular;
  • Volatility modeling, in particular multivariate volatility;
  • State-of-the-art methods such as extreme value theory and copulas.

Essential reading for risk managers, traders, quants and financial engineers working in banks, investment firms, asset management companies, insurance houses and regulatory authorities. It is also recommended for Masters, PhD students and faculty researching this field.

Book details

Publish date
1 Aug 2007
155mm x 235mm

Editor biography

Jon Danielsson

Jon Danielsson has a PhD in the economics of financial markets, and is currently a reader in finance at the London School of Economics. His research areas include financial risk, regulation of financial markets, market volatility, models of extreme market movements, and microstructure of foreign exchange markets. He has published his work in a range of academic and practitioners journals, and discussed his work in a number of universities, financial institutions and government agencies.

Table of contents



SECTION 1. Risk Measures

1. Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, and David Heath, "Thinking Coherently" (Risk, November 1997)

2. G. Kaplanski and Y. Kroll, "Value-at-Risk Risk Measures vs Traditional Risk Measures: an Analysis and Survey" (JOR 4.3, Spring 2002)

3. A. Pfingsten, P. Wagner and C. Wolferink, "An Empirical investigation of the Rank Correlation between different Risk Measures" (JOR 6.4, Summer 2004)

4. A. Chabaane, J.-P. Laurent, Y. Malevergne and F.Turpin, "Alternative risk measures for alternative investments" (JOR 8.4, Summer 2006)

SECTION 2. Estimation of Risk Models

5. Jon Danielsson and Philipp Hartmann&Casper De Vries, "The Cost of Conservatism" (Risk January 98)

6. Torben Andersen, Tim Bollerslev, Francis Diebold, and Paul Labys, "Great Realisation" (Risk, March 2000)

7. J. H. Venter and P.J. de Jongh, "Selecting an innovation distribution for GARCH models to improve efficiency of risk and volatility estimation" (JOR 6.3, Spring 2004)

8. J. Hull and A. White, "Incorporating volatility updating into the historical simulation method for VaR" (JOR 1.1, Fall 1998)

9. Peter Christoffersen and Sílvia Gonçalves, "Estimation risk in financial risk management" (JOR 7.3, Spring 2005)

SECTION 3. Multivariate Models, Correlations, Copulas

10. Robert Engle and Joseph Mezrich, "GARCH for Groups" (Risk, August 1996)

11. S. Turkay, E. Epperlein and N. Christofides, "Correlation stress testing for value-at-risk" (JOR 5.4, Summer 2003)

12. F. Audrino and P. Buhlmann, "Synchronizing multivariate financial time series" (JOR 6.2, Winter 2003/04)

13. Y. Malevergne and D. Sornette, "How to account for extreme co-movements between individual stocks and the market" (JOR 6.3, Spring 2004)

SECTION 4. Large Events, Crisis, and Fat Tails

14. Paul Embrechts&Sidney Resnick&G.Samorodnisky, "Living on the Edge" (Risk, January 1998)

15. Michael Dacorogna and Peter Blum, "Extreme forex moves" (Risk, February 2003)

16. John Hull, "The power law" (Risk, March 2007)

17. Koedijk, R. Huisman, and Rachel Pownall, "VaR-x: fat tails in financial risk management" (JOR 1.1, Fall 1998)

18. C. Brooks and G. Persand, "Value-at-risk and market crashes" (JOR 2.4, Summer 2000)

SECTION 5. Evaluation of Models and Systems (back tests and stress tests)

19. Turan Bali and Salih Neftci, "The relativity of volatility" (Risk, April 2001)

20. Jeremy Berkowitz, "Testing assumptions" (Risk, May 2002)

21. J. Lopez, "Regulatory evaluation of value-at-risk models" (JOR 1.2, Winter 1998/99)

22. Gerhard Stahl, Carsten S. Wehn&Andreas Zapp, "Backtesting within the Trading Book" (JOR 8.2, Winter 2005/06)

23. Sean D. Campbell, "A review of backtesting and backtesting procedures" (JOR 9.2, Winter 2006/07)

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