Value at risk : the new benchmark for managing financial risk / Philippe Jorion.

Format:

Book

Author/Creator:

Jorion, Philippe, 1955-

Contributor:

Hazel M. Hussong Fund.

Language:

English

Subjects (All):

Financial futures.

Risk management.

Physical Description:

xvii, 602 pages : illustrations ; 24 cm

Edition:

Third edition.

Place of Publication:

New York : McGraw-Hill, [2007]

Summary:

Thoroughly revised and updated with new information and critical analysis, Philippe Jorion's classic Value at Risk remains the industry leader in risk management. The third edition features an increased emphasis on operational risk, coverage of new risk management techniques and the recently finalized Basel Accords, applications of VAR to risk budgeting and integrated risk management, new end-of-chapter exercises, and much more.

Contents:

Motivation

The need for risk management

Lessons from financial disasters

VAR-based regulatory capital

Building blocks

Sources of financial risk

Computing VAR

Backtesting VAR

Portfolio risk: analytical methods

Multivariate models

Forecasting risks and correlations

Value-at-risk systems

VAR methods

VAR mapping

Monte Carlo methods

Liquidity risk

Stress testing

Applications of risk management systems

Using VAR to measure and control risk

Using VAR for active risk management

VAR and risk budgeting in investment management

Extensions of risk management systems

Credit risk management

Operational risk management

Integrated risk management

The risk management profession

Risk management: guidelines and pitfalls

Conclusions.

Notes:

Includes bibliographical references (pages 573-584) and index.

Local Notes:

Acquired for the Penn Libraries with assistance from the Hazel M. Hussong Fund.

ISBN:

0071464956

9780071464956

OCLC:

69104260

Publisher Number:

9780071464956

Online:

Contributor biographical information

Publisher description