This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.
By Cormac Butler. Value at Risk is covered in many of the books on risk management in banking, but for a really comprehensive treatment you should try this book. Unlike some similar books it doesn’t have an associated CD with worked examples, but its explanations are clear. It has a whole chapter on applying VaR principles to credit control. Visit its page at Amazon.