Intro to VAR

[darshang3]

Hi David

can u tell what we can refer to to get a good grip on VAR (basic) that is needed in Valuation and risk models.

thanks in advance.


Regards,
Darshan.

 

[David Harper CFA FRM]

Hi Darshan -

if time is short, for the VaR, I'd favor, in order, 1. Jorion's (book) VaR 3rd Edition or 2. FRM Handbook rather than the assigned Linda Allen.

(for more leisurely or deeper study (post 2009 exam), Dowd's (unassigned) chapters in Measuring Market Risk are good/technical and, of course, you can't do better than Carol Alexander's 4 vol master-work)

David