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Fin Mkts Portfolio Mgmt (2007) 21: 397398 DOI 10.1007/s11408-007-0057-3
B O O K R E V I E W
Published online: 17 July 2007 Swiss Society for Financial Market Research 2007
Professor Jorions book provides a comprehensive treatment of the concept of Value at Risk, tailored towards the needs of professionals and MBA students. Much emphasis is put on the implementation and use of Value at Risk in a risk management framework as well as the Basel regulations. The book also points the reader toward more advanced topics. The new sections outlining applications of extreme value theory, principal component analysis, copulas and the Basel II rule sets are very welcome additions to the previous editions.
The author has divided the treatment of Value at Risk into six parts, all building upon each other.
Part I provides an overview of markets and risk factors for nancial institutions. The author takes a historical approach to motivate Value at Risk while highlighting several high prole failures and shortcomings of risk management. He also introduces the reader to the evolution of the Basel...