Anonymous shelf assessment
Foundational Text on Value at Risk
Shelf score 8.5 / 10
On Value at Risk · Philippe Jorion · McGraw-Hill
Published 22 March 2026
This work serves as a core reference for understanding market risk measurement through Value at Risk (VaR).
Overview
Published in 2006, 'Value at Risk' by Philippe Jorion is regarded as an industry-standard text on market risk measurement. It delves into essential topics such as value at risk, risk aggregation, and stress testing, providing a comprehensive framework for quantitative risk control.
The book is particularly relevant for risk managers, analysts, and advanced students, offering strong technical coverage that aligns closely with institutional risk practices. Despite its focused approach on market risk frameworks, it remains a crucial resource for professionals who must navigate the complexities of risk management in financial contexts.
By area & interest
Core Reference Status
The text is recognised as a foundational resource in the field of market risk, making it essential for serious risk professionals.
Technical Coverage
It provides in-depth discussions on quantitative risk control, making it suitable for those seeking a robust understanding of the subject.
Target Audience
Ideal for risk managers, quants, and regulators-in-training, this book supports advanced learning in market risk.
Practical Application
The insights offered are directly applicable to institutional risk practices, enhancing the reader's ability to implement effective risk management strategies.
Basis of this assessment
The assessment is based on catalogue information detailing the book's content, audience, and relevance in the field of risk management.
Strengths
The book is a core reference with strong technical coverage that is directly relevant to institutional risk practice, making it indispensable for professionals in the field.
Limitations
Its focus is primarily on market risk frameworks, which may limit its applicability to broader enterprise risk culture.
Ideal reader
This text is best suited for risk managers, quantitative analysts, regulators-in-training, and advanced students in market risk who require a thorough understanding of Value at Risk.