Recommended readings for VaR

Question

I am new to finance.I was trying to learn VaR.

Can someone please suggest me some good readings/book to know about VaR from the basics.

Thanks in advance.

AlRacoon's answer to this question might be helpful: https://quant.stackexchange.com/questions/37417 — LocalVolatility, Dec 19 '17 at 13:21
Agreed with the comment above. Jorion's book: Value at Risk: The New Benchmark for Managing Financial Risk is a very good reference on the topic — JejeBelfort, Dec 19 '17 at 15:42

AlRacoon · Answer 1 · 2017-12-19T17:59:21.187

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Jorion's book on VAR is a good introduction.

Also, if you search this community, there are some very good posts for practical implementation of VAR.

For example, in this question, there is a very good step by step description of how to calculate Monte Carlo VAR:

Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations

edited Dec 19 '17 at 17:59

answered Dec 19 '17 at 14:10

AlRacoon

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score 2 · Answer 2 · answered Jan 18 '18 at 00:25

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Risk management and financial institutions, by John C. Hull, is a classical exposition of the foundations of risk management, including VaR calculations.

answered Jan 18 '18 at 00:25

Andrey Portnoy

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score 1 · Answer 3 · answered Jan 18 '18 at 11:20

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Professor Carol Alexander, "Market Risk Analysis", esp. "Volume IV: Value at Risk Models"

answered Jan 18 '18 at 11:20

rbm

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Recommended readings for VaR

3 Answers3