Value-at-Risk by Glyn Holton

skphang · July 29th, 2005, 7:04 am

Has anyone read this book? How did you find it?I refer to Philippe Jorion's Value at Risk quite frequently. However, I was thinking of getting a more recent book which has details on methodology.Thanks in advance.

gobbledygook · July 29th, 2005, 11:38 am

Jorion's book is a bit outdated now. If you can only buy one book on VaR, go for Holton.

WilmottBookshop · July 29th, 2005, 11:45 am

Value-at-Risk: Theory and Practice by Holton is available from the Wilmott Bookshop.