Managers require a much more effective risk management system for financial institutions than ever before. This need has led to the development of the concept of Value-at-Risk (VaR), a method that hands managers a comprehensive measure for defining, in monetary terms, the risk incurred by the portfolio he or she is managing. This thorough guide to VaR combines a broad overview of the concepts with very practical instruction in implementation and modeling, analyzes the statistical background needed for implementation of VaR models, and shows procedures for calculating VaR for the most important basic financial instruments. It analyzes the most important limitations of VaR and the models used for calculating it—which is essential to understanding the risk management framework. (text from the publisher)