Value at Risk, 3rd Ed. (inbunden)
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Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
624
Utgivningsdatum
2006-11-01
Upplaga
3
Förlag
McGraw Hill
Illustrationer
illustrations
Dimensioner
250 x 160 x 50 mm
Vikt
940 g
Antal komponenter
1
ISBN
9780071464956

Value at Risk, 3rd Ed.

The New Benchmark for Managing Financial Risk

av Philippe Jorion
Inbunden,  Engelska, 2006-11-01
1002
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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.
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    Övrig information

    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

    Preface
    Acknowledgments
    part i. motivation
    1. The Need for Risk Management
    2. Lessons from Financial Disasters
    3. VAR-Based Regulatory Capital
    part ii. building blocks
    4. Tools for Measuring Risk
    5. Computing VAR
    6. Backtesting VAR
    7. Portfolio Risk: Analytical Methods
    8. Multivariate Models
    9. Forecasting Risk and Correlations
    part iii. value-at-risk systems
    10. VAR Methods
    11. VAR Mapping
    12. Monte Carlo Methods
    13. Liquidity Risk
    14. Stress Testing
    part iv. applications of risk management systems
    15. Using VAR to Measure and Control Risk
    16. Using VAR for Active Risk Management
    17. VAR and Risk Budgeting in Investment Management
    part v. extensions of risk management systems
    18. Credit Risk Management
    19. Operational Risk Management
    20. Integrated Risk Management
    part vi. the risk management profession
    21. Risk Management Guidelines and Pitfalls
    22. Conclusions
    References
    Index

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