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, 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.
The previous edition has been expanded by more than sixty percent, with new chapters on backtesting, stress-testing, liquidity risk, operational risk, integrated risk management, and applications of VAR.
Order the book at Amazon.
Download the introduction in Adobe PDF format.


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The third edition of the book is in press. This includes:
● An increased emphasis on operational risk
● Using VAR for integrated risk management and to measure economic capital
● Applications of VAR to risk budgeting in investment management
● Discussion 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, integrated throughout the book

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