Practical Value at Risk (VaR)

[DmitryK]

Hi,
Employers are looking forward to applicants with experience in building VaR models. Please recommend a book (or any other resource) which gives step-by-step guidelines and a practical example (possibly with code) to building a VaR model for a portfolio of different classes of financial instruments (stocks, bonds, FX forward, interest swaps, etc.).

Thanks in advance!

 

[Ken Abbott]

Hi,
Employers are looking forward to applicants with experience in building VaR models.

Which employers? Where?

There are descriptions in pretty much every risk textbook, but it sounds to me like you're reading the classifieds from 1995.

 

[DmitryK]

Hi Ken,
I meant that I'd like to work with VaR models in my next position. And if a company searches for a person to work with VaR models, it usually wants the one with some experience. And I want to be that person. However, I don't have a practical experience with VaR models. Gaining experience from good guidelines is my only chance to gain this experience before applying for a position. Am I right?

There are descriptions in many risk textbooks, but they are mostly general. I have not seen a book that builds a good VaR model for a portfolio if different class fin.instr. from scratch in a step-by-step mode using real financial data.

Do you know such book? Or any other resource.

 

[alain]

Value-at-Risk: Theory and Practice, Second Edition - by Glyn A. Holton

 

[DmitryK]

Thanks, alain. Have you finished this book yourself?