Mastering Value Risk - A
step-by-step guide to understanding & applying VAR
Cormac Butler
ISBN: 0273637525 (Paperback)
For financial institutions
and corporate treasuries across the world, Value at Risk (VaR) is rapidly emerging as the
dominant methodology for estimating precisely how much money is at risk each day in the
financial markets.
However, the communication
and application of VaR is a field in which the signal-to-noise ratio is not high. There is
neither a widespread intuitive understanding of VaR in the market, nor an appreciation of
the practicalities of its implementation and limitations.