Anonymous shelf assessment
Comprehensive Guide to Value at Risk
Shelf score 8.0 / 10
On Value at Risk: The New Benchmark for Managing Financial Risk · Philippe Jorion · McGraw-Hill
Published 23 March 2026
This work serves as an industry standard reference on Value at Risk methodologies.
Overview
Philippe Jorion's 'Value at Risk: The New Benchmark for Managing Financial Risk' is a pivotal text in the field of risk management and quantitative finance. Published in 2007, it provides an in-depth exploration of various Value at Risk (VaR) methodologies, including historical, Monte Carlo, and parametric approaches. The book is designed for an intermediate reading level, making it accessible to professionals in the finance sector.
The text is particularly beneficial for risk managers and quants, offering comprehensive coverage of VaR methods. It addresses the importance of risk measurement standards in financial practices, thereby equipping readers with essential tools for managing financial risk effectively. Despite its technical content, the book is recognised as a key resource for those looking to deepen their understanding of financial risk assessment.
By area & interest
VaR Methodologies
The book covers various methodologies for calculating Value at Risk, including historical, Monte Carlo, and parametric approaches, providing a thorough understanding of each.
Industry Standard
Recognised as an industry standard reference, this text is crucial for professionals seeking to implement effective risk management strategies.
Target Audience
The primary audience includes traders, risk managers, and quantitative analysts who require a solid grasp of risk measurement techniques.
Basis of this assessment
Assessment based on catalogue information detailing the book's content and target audience.
Strengths
The book offers comprehensive coverage of VaR methods, making it a valuable resource for understanding risk management standards in finance.
Limitations
The technical nature of the content may pose challenges for readers without a strong background in quantitative finance.
Ideal reader
Ideal readers include risk managers and quantitative analysts looking to enhance their knowledge of financial risk measurement techniques.