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Value at risk : the new benchmark for managing financial risk
Author
Title
Value at risk : the new benchmark for managing financial risk / Philippe Jorion.
ISBN
0071464956 (hardcover : alk. paper)
9780071464956
Edition
3rd ed.
Published
New York : McGraw-Hill, c2007.
Physical Description
xvii, 602 p. : ill. ; 24 cm.
Format
Books
Language
English
Added to Catalog
August 26, 2013
Bibliography
Includes bibliographical references (p. 573-584) and index.
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.
Subjects
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