An Introduction to Value-At-Risk, Fourth Edition

PREFACE

In 1998 I put together an introductory course on Value-at-Risk for the Securities Institute in London, at the invitation of Zena Doidge. This was a departure for me: my background and work experience up to then had not been in risk management; I had spent the previous 6 years as a bond and money markets trader. However, due to personal circumstances I found myself in the position of teaching courses on various bond market subjects. This particular course forced me to actually research the topic though, and not just rely on my work experience as I might have done when I taught a course on (say) swaps or repo. Thus began an interest in writing, morespecifically writing incorporating research and academic rigour rather than just practical experience. Anyway, I delivered the course in June or July that year and it seemed to go down okay. Then Zena suggested that the course companion that I had produced for the course might make a useful textbook on the subject. I had not thought at all about doing this, but as it happened the Institute had its own publishing arm, so there was no need for me to go out and try to get a publishing deal! Thus, my first ever book was born, which came out in March 1999. And here we are with the fourth edition of that book, now with John Wiley & Sons in Chichester and destined to be, or so I assure myself, my last book.

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