Value at risk
Subtitle: the new benchmark for managing financial risk
By: Philippe Jorion
Edition: 3rd ed
Publisher: McGraw-Hill
Published: 2007
Place of publication: New York
Language: eng
Number of pages: 602
ISBN-13: 9780071464956
Subjects: Financial futures; Risk management
Description: This third edition has been significantly updated. Jorion cites operational risk, new risk management techniques and the Basel Accords as key update issues.
Notes: Includes bibliographical references (p. 573-584) and index
Table of contents: title: Motivation; title: The need for risk management; title: Lessons from financial disasters; title: VAR-based regulatory capital; title: Building blocks; title: Sources of financial risk; title: Computing VAR; title: Backtesting VAR; title: Portfolio risk: analytical methods; title: Multivariate models; title: Forecasting risks and correlations; title: Value-at-risk systems; title: VAR methods; title: VAR mapping; title: Monte Carlo methods; title: Liquidity risk; title: Stress testing; title: Applications of risk management systems; title: Using VAR to measure and control risk; title: Using VAR for active risk management; title: VAR and risk budgeting in investment management; title: Extensions of risk management systems; title: Credit risk management; title: Operational risk management; title: Integrated risk management; title: The risk management profession; title: Risk management: guidelines and pitfalls; title: Conclusions