Implementing Value at Risk

This book came about through a series of speeches given at industry seminars on Value at Risk and Stress Testing. Delegates and presenters often commented that the methods presented should be written down. This book is the realisation of those conversations and presents a framework for managing market risk using Value at Risk and its companion: Stress Testing. The disk at the end of the book contains Excel spreadsheet based examples of the VAR calculations described in the book. The spreadsheets allow the main results presented throughout the book to be recreated by the reader.