Value at Risk

Value at Risk:
The New Benchmark for Managing Financial Risk

Philippe Jorion

In response to billion-dollar losses (Orange County, Barings, Daiwa, Metallgesellschaft...), the financial industry is turning to Value at Risk (VAR) as a method to control financial risks. Professor Jorion wrote the first book on VAR, Value at Risk: The New Benchmark for Managing Financial Risk.

The first edition was published by McGraw-Hill in 1996. The book has been translated into Chinese, Hungarian, Japanese, Korean, Polish, Portuguese, and Spanish. It has been called an "industry standard".

The second edition of Value at Risk was published in August 2000.
This expands the first edition by more than sixty percent, with new chapters on backtesting, stress-testing, liquidity risk, operational risk, integrated risk management, and applications of VAR.
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The third edition of the book was published in October 2006. This includes:
● An increased emphasis on operational risk
● Extensions of VAR to integrated risk management and economic capital
● Applications of VAR to risk budgeting in investment management
● Descriptions of new risk-management techniques, including extreme value theory, principal components, and copulas
● Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks.
Order the book at Amazon.

A new feature of the Third Edition is the addition of questions and exercises at the end of each chapter, making it even easier to check progress. Solutions are here:

For comments, please email to: pjorion AT uci DOT edu

Philippe Jorion's home page