Jacob Boudoukh is Professor of Finance and the founding director of theCaesarea Edmond Benjamin de Rothschild Center for Capital Markets and Risk Management at the Arison School of Business, IDC; as well as holding positions at the Stern School of Business, New York University. ormerly formerly with and currently visiting Stern-NYU; and a member of the NBER. His work has been published in academic journals such as The American Economic Review, and The Journal of Financial Economics, as well as practitioner journals such as Risk.Anthony Saunders is John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business, and Economics and Finance Department Chair at New York University. He is also editor of the Journal of Banking and Finance and the Journal of Financial Markets, Institutions and Instruments, and has published Financial Institutions and Management (2nd4th edition). Professor Saunders has published widely in top journals such as Journal of Finance.

List of Figures xiv

List of Tables xvi

Preface xviii

List of Abbreviations xx

1 Introduction to Value at Risk (VaR) 1

2 Quantifying Volatility in VaR Models 21

3 Putting VaR to Work 82

4 Extending the VaR Approach to Non-tradable Loans 119

5 Extending the VaR Approach to Operational Risks 158

6 Applying VaR to Regulatory Models 200

7 VaR: Outstanding Research 233

Notes 236

References 257

Index 270