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


The Definitive Book on Value-at-Risk

Glyn Holton’s book on value-at-risk (VaR) is out in a new second edition, and it is entirely free on this website.  Start Reading

Value-at-Risk website under construction.

Implementation Update: All chapters are live as of January 2014. We are now editing. During this process, you may encounter an occasional typo or broken link. We appreciate your patience and encourage you to report any problems using the discussion form at the bottom of each page.

Praise for the first edition:

Laudably balancing clarity of exposition, a unified theoretical approach, and analytical rigor, Holton has produced what is bound to become the standard advanced text and reference work on value-at-risk. Seasoned practitioners will find the treatise every bit as useful as new students to the subject.

Christopher L. Culp
Adjunct Associate Professor of Finance
The University of Chicago

How to cite:

Second Edition

Holton, Glyn A. (2014). Value-at-Risk: Theory and Practice, second edition, e-book at

First Edition

Holton, Glyn A. (2003). Value-at-Risk: Theory and Practice, San Diego: Academic Press.