I am new to finance.I was trying to learn VaR.
Can someone please suggest me some good readings/book to know about VaR from the basics.
Thanks in advance.
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2$\begingroup$ AlRacoon's answer to this question might be helpful: quant.stackexchange.com/questions/37417 $\endgroup$– LocalVolatilityDec 19, 2017 at 13:21
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1$\begingroup$ Agreed with the comment above. Jorion's book: Value at Risk: The New Benchmark for Managing Financial Risk is a very good reference on the topic $\endgroup$– JejeBelfortDec 19, 2017 at 15:42
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3 Answers
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Jorion's book on VAR is a good introduction.
Also, if you search this community, there are some very good posts for practical implementation of VAR.
For example, in this question, there is a very good step by step description of how to calculate Monte Carlo VAR:
Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations
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Risk management and financial institutions, by John C. Hull, is a classical exposition of the foundations of risk management, including VaR calculations.
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Professor Carol Alexander, "Market Risk Analysis", esp. "Volume IV: Value at Risk Models"
