Includes bibliographical references and index.

The growing importance of proprietary trading, the blurring boundaries among financial sub-industries (banking, insurance, leasing, asset management, private banking), the increased volatility of financial markets and regulatory statements requiring a more and more effective risk management system for financial institutions have led to the development of the concept of Value-at-Risk (VaR) -- a method for managers to have a comprehensive measure able to define, in monetary terms, the risk incurred by the portfolio he or she is managing, regardless of the financial instruments held in the portfolio.