|
Value-at-Risk: Theory and Practice is perfect for MSc students in
quantitative finance. It is also suitable for MBA students or undergraduates with strong quantitative skills. It offers a sophisticated
look at an important financial application. It has mathematics students can
"sink their teeth into." Concepts are illustrated with practical examples
drawn from markets around the world. Finally, there are plenty of exercises
that tweak students' intuition or walk them through sophisticated
computations. Detailed solutions for all exercises are provided on this
website.
An appealing aspect of the book for use in quantitative
finance programs is the depth and rigor of its mathematics. By presenting
this mathematics in the context of quantifying risk,
the book can round out a program that otherwise presents financial
mathematics primarily in the context of valuation.
Although the book's focus is on measuring market risk, many
of the techniques presented are transferable to other forms of risk.
Accordingly, the book can be used in a course focused specifically on
value-at-risk, or it can be the primary text for a more general course on financial risk
measurement.
There are various ways the book can be used in a classroom setting. One
approach is to design an in-depth course on value-at-risk for students who
have strong quantitative skills. Focus on Parts 1 and 3. Students can refer
to the mathematics of Part 2 on their own as needed.
The book can be paired with one of the excellent texts
available on portfolio credit risk measurement and used in a one- or
two-semester course on financial risk measurement.
If students need to develop their quantitative skills—calculus,
linear algebra, probability and statistics—you might design a
two-semester financial mathematics course that uses value-at-risk to
motivate topics. Students often learn mathematics more easily if they have a
concrete application, so this approach is likely to work better than running
a course that focuses on such mathematics independently. Cover Part 1 of the
text carefully, referring forward to the mathematics of Part 2 as
necessary. Then cover highlights of Part 2. Finally, go through the chapters
of Part 3 sequentially, referring back to mathematics in Part 2 as needed.
You can design the course so that all the material of Part 2 is covered at
some point, with much of it motivated by specific applications from Parts 1
and 3.
|
.jpg)
