Summary of Measuring Market Risk With Value at Risk

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Measuring Market  Risk With Value at Risk book summary
Within risk management, banks must know what value could be lost in each investment. That metric is ‘Value at Risk.’

Rating

6 Overall

7 Applicability

6 Innovation

4 Style

Recommendation

This book is a detailed and meticulous presentation of the calculations involved in Value at Risk (VaR) measurement. According to authors Pietro Penza and Vipul K. Bansal, Value at Risk is one of the most popular approaches to measuring the risk of harm to financial portfolios. It is a valuable institutional tool. Be aware, though, the book’s message and how-to assistance will seem generally irrelevant to individual investors, except for a handful of extremely high net worth individuals at the top of the Forbes 400. Its calculations are beyond the ken of most non-mathematicians, but they will intrigue the right audience. getAbstract.com finds this book to be a useful addition to the libraries of professional investors, bankers or risk managers, particularly those with highly developed analytical skills and a certain degree of comfort with financial engineering. Some other financial managers and lay readers will find useful information here, though they may need to walk on tiptoes through those sections of the content that are over their heads.

In this summary, you will learn

  • The meaning of financial and operational risk, particularly in banking
  • Some key ideas on managing risk
  • How Value at Risk (VaR) is calculated for various asset categories and situations
 

Summary

Ready for Risk
All businesses face risk. Many kinds of risk are potential threats, but for most businesses, the most important is market risk. Risks are difficult to measure, much less manage, but it is critically important to get a handle on them. Consider the roster of institutions that...
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About the Authors

Pietro Penza manages the financial risk management practice of the Rome office of PricewaterhouseCoopers. Vipul K. Bansal, Ph.D., CFA, CFP, is associate professor of finance at the Peter J. Tobin College of Business at St. John’s University. He is the co-author of Financial Engineering: The Complete Guide to Financial Innovation.


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