12.7 Further Reading – Implementing Value-at-Risk

12.7  Further Reading – Implementing VaR

Value-at-risk implementations differ significantly from one market to the next. Examples in this book illustrate techniques applicable to various markets. For some other markets, see

  • agriculturals – Wilson, Nganje and Hawes (2007)
  • credit default swaps – O’Neil (2010)
  • energies – Dahlgren, Liu and Lawarrée (2003) ans Vasey and Bruce (2010)
  • mortgage-backed securities – Han, Park and Kang (2007)
  • shipping – Abouarghoub (2013)

More generally, Levine (2007) provides a high-level discussion of implementing risk management systems, primarily for the capital markets. Vasey and Bruce (2010) is a wonderful book on sourcing vendor trading and risk management software. While it targets the energy trading industry exclusively, professionals in other industries will benefit from many of its practical insights.

Leffingwell and Widrig (1999) is a general book for IT professionals on discovering and documenting systems requirements. Use cases are discussed by Cockburn (2000) and Schneider and Winters (2001). Larman (2003) offers an overview of agile software development methods. The specific methods of Scrum, XP, and Test-Driven Development are discussed in Schwaber and Beedle (2001), Beck and Andres (2004), and Beck (2002), respectively.