This book include the origins and devekopment of VaR; alternative risk measurement frameworks; an overview of different estimation methods; non-parametrikc methods; parametric methods, including volatility and correlation forecasting and extreme-value approaches; the estimation of options and liquidity risks; stochastic (or Monte Carlo) methods and their applications to market risk measurement problems; risk-decomposition; mapping; stress-testing; backtesting; and model risk. There are also numerous worked examples, a large number of appendices, and on the accompanying CD-ROM a set of Excel workbooks, and an extensive collection of MATLAB risk measurement functions