Recommended Starting Points for Learning Value at Risk

Summary

This short exchange answers a beginner’s request for introductory material on value at risk (VaR). It points to three books: Philippe Jorion’s treatment of VaR, John C. Hull’s overview of risk management and financial institutions, and Carol Alexander’s Market Risk Analysis series, especially its volume on VaR models. These recommendations span a general introduction, broader risk management foundations, and a focused treatment of VaR modelling.

The replies also point learners toward practical community explanations, including a step-by-step discussion of calculating portfolio VaR with Monte Carlo simulation. That reference signals one computational approach, but the document itself does not explain the simulation procedure, compare it with historical or parametric VaR, or assess model assumptions. It is a reading list rather than a technical guide, so readers will need the cited books or external discussions to learn the mathematics, implementation choices, and limitations of VaR estimates.

Key ideas

• Jorion’s book is recommended as an introduction to VaR.
• Hull’s risk management text presents VaR within a broader financial risk framework.
• Alexander’s Market Risk Analysis includes a volume focused on VaR models.
• A community discussion is suggested for a practical Monte Carlo portfolio VaR example.
• The exchange recommends resources but does not teach or compare VaR methods.

Tags

# Recommended readings for VaR


# Recommended readings for VaR












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.

## Answer by AlRacoon (score 4)

https://quant.stackexchange.com/a/37431

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

## Answer by Andrey Portnoy (score 2)

https://quant.stackexchange.com/a/37781

Risk management and financial institutions, by John C. Hull, is a classical exposition of the foundations of risk management, including VaR calculations.

## Answer by rbm (score 1)

https://quant.stackexchange.com/a/37786

Professor Carol Alexander, "Market Risk Analysis", esp. "Volume IV: Value at Risk Models"

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