Value at Risk, 3rd Ed.

AvPhilippe Jorion

Inbunden, Engelska, 2006

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Beskrivning

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include:

An increased emphasis on operational risk

Using VAR for integrated risk management and to measure economic capital

Applications of VAR to risk budgeting in investment management

Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas

Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book

A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students.

Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems.

The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

Produktinformation

Utgivningsdatum:2006-11-16
Mått:167 x 233 x 35 mm
Vikt:997 g
Format:Inbunden
Språk:Engelska
Antal sidor:624
Upplaga:3
Förlag:McGraw-Hill Education
ISBN:9780071464956

Utforska kategorier

Projektledning inom Ekonomi och Ledarskap

Mer om författaren

Philippe Jorion (Irvine, CA) is a professor of finance at the University of California at Irvine. Among his previous books is Financial Risk Management: Domestic and International Dimensions.

Innehållsförteckning

PrefaceAcknowledgmentsPart I. MOTIVATION1. The Need for Risk Management2. Lessons from Financial Disasters3. VAR-Based Regulatory CapitalPart II. BUILDING BLOCKS4. Tools for Measuring Risk5. Computing VAR6. Backtesting VAR7. Portfolio Risk: Analytical Methods8. Multivariate Models9. Forecasting Risk and CorrelationsPart III. VALUE-AT-RISK SYSTEMS10. VAR Methods11. VAR Mapping12. Monte Carlo Methods13. Liquidity Risk14. Stress TestingPart IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS15. Using VAR to Measure and Control Risk16. Using VAR for Active Risk Management17. VAR and Risk Budgeting in Investment ManagementPart V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS18. Credit Risk Management19. Operational Risk Management20. Integrated Risk ManagementPart VI. THE RISK MANAGEMENT PROFESSION21. Risk Management Guidelines and Pitfalls22. ConclusionsReferencesIndex