Philippe Jorion

Value at Risk, 3rd Ed.

The New Benchmark for Managing Financial Risk

• Gebundenes Buch

Produktbeschreibung

Shows you how to navigate your way in a dynamic risk environment. This title includes an emphasis on operational risk, discussion of risk-management applications, and changes in definitions of industry standards.

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Produktdetails

• Verlag: McGraw-Hill Professional
• 3rd ed.
• Seitenzahl: 624
• Erscheinungstermin: 9. November 2006
• Englisch
• Abmessung: 237mm x 162mm x 50mm
• Gewicht: 1010g
• ISBN-13: 9780071464956
• ISBN-10: 0071464956
• Artikelnr.: 20807090

Autorenporträt

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.

Inhaltsangabe

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