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Title: Great VaR book, lacking in Risk Budgeting
Review: Prof. Pearson has done an excellent job describing VaR and how downside risk fits into the portfolio selection process. His book is the only book on VaR that I am aware of to provide a rigorous treatment of methods for encorporating non-normality of returns into the VaR estimate (by means of the Cornish-Fisher approximation or other approaches), surpassing even Jorion's "Value-at-Risk" in this regard. The treatment of Risk Busdgeting starts with a reasonable definition, but then drops to short references throughout the book and a brief treatment at the end about including VaR measures in a risk budgeting portfolio management approach. I would also liked to have seen the code used to create the examples published with the book, even though this is not a book on implementation.
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