Implementing Value at Risk (Wiley Series in Financial Engineering)

Rating:
Summary: AN AVERAGE VAR BOOK
Review: This book well explains what is Value At Risk and the concept of risk management in banks. Business concepts are complete. The author gives a lot of weight in risk control.

However, he lacks to give detailed examples on how to calculate VAR, the mathematics/statistics behind. Spreadsheets are nice but not complete from the beginning to the end. Important statistical methods are described without enough detail leaving the concepts out the book's scope.

Rating:
Summary: AN AVERAGE VAR BOOK
Review: This book well explains what is Value At Risk and the concept of risk management in banks. Business concepts are complete. The author gives a lot of weight in risk control.

However, he lacks to give detailed examples on how to calculate VAR, the mathematics/statistics behind. Spreadsheets are nice but not complete from the beginning to the end. Important statistical methods are described without enough detail leaving the concepts out the book's scope.

Rating:
Summary: Very Useful Book on Implementing VAR
Review: This is a good book for a financial engineer's library. I found the spreadsheet examples particularly useful.