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Measuring Market  Risk With Value at Risk
Book

Measuring Market Risk With Value at Risk

Wiley, 2000 plus...

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Editorial Rating

6

Qualities

  • Comprehensive
  • For Experts

Recommendation

This book is a detailed and meticulous presentation of the calculations involved in Value at Risk (VaR) measurement. According to authors Pietro Penza and Vipul K. Bansal, Value at Risk is one of the most popular approaches to measuring the risk of harm to financial portfolios. It is a valuable institutional tool. Be aware, though, the book’s message and how-to assistance will seem generally irrelevant to individual investors, except for a handful of extremely high net worth individuals at the top of the Forbes 400. Its calculations are beyond the ken of most non-mathematicians, but they will intrigue the right audience. getAbstract.com finds this book to be a useful addition to the libraries of professional investors, bankers or risk managers, particularly those with highly developed analytical skills and a certain degree of comfort with financial engineering. Some other financial managers and lay readers will find useful information here, though they may need to walk on tiptoes through those sections of the content that are over their heads.

Take-Aways

  • Risk management is an increasingly important part of financial management.
  • The two types of asset and liability management are strategic and operational.
  • The two types of risk are financial and operational or ordinary business risks. Financial risks include credit, market, interest rate, liquidity and legal risks.

About the Authors

Pietro Penza manages the financial risk management practice of the Rome office of PricewaterhouseCoopers. Vipul K. Bansal, Ph.D., CFA, CFP, is associate professor of finance at the Peter J. Tobin College of Business at St. John’s University. He is the co-author of Financial Engineering: The Complete Guide to Financial Innovation.