- A short, intuitive, and accurate explanation of VaR (Value at Risk)
- A pretty good history lesson on the development of VaR at JP Morgan in the late 80s and early 90s.
- You can't have an article on risk management without Nassim Taleb*. So, of course he makes an appearance.
- A description of some of the ways VaR is used in practice. Not surprisingly, the "testbook" treatment of VaR doesn't come anywhere close to telling the whole story.
* Paul Wilmott has said (tongue in cheek, I'm sure) that he mentions Nassim Taleb occasionally on his blog because it increases traffic from Google searches. That's definitely not something I'd do. No. Never. Well, hardly ever...