Value at Risk, 3rd Ed. The New Benchmark for Managing Financial Risk,9780071464956

Value at Risk, 3rd Ed. The New Benchmark for Managing Financial Risk

by
Edition: 3rd
ISBN13: 9780071464956
ISBN10: 0071464956
Format: Hardcover
Pub. Date: 2006-11-09
Publisher(s): McGraw Hill
List Price: $109.00

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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. Book jacket.

Author Biography

Philippe Jorion is a professor of finance at the University of California, Irvine. Editor in chief of the Journal of Risk, Jorion is a consultant to institutions including PIMCO, the World Bank, AIMR, the Federal Reserve, and the United Nations.

Table of Contents

Preface vii
Acknowledgments xvii
Part I. MOTIVATION 1(72)
1 The Need for Risk Management
3(28)
2 Lessons from Financial Disasters
31(18)
3 VAR-Based Regulatory Capital
49(24)
Part II. BUILDING BLOCKS 73(172)
4 Tools for Measuring Risk
75(30)
5 Computing VAR
105(34)
6 Backtesting VAR
139(20)
7 Portfolio Risk: Analytical Methods
159(30)
8 Multivariate Models
189(30)
9 Forecasting Risk and Correlations
219(26)
Part III. VALUE-AT-RISK SYSTEMS 245(132)
10 VAR Methods
247(30)
11 VAR Mapping
277(30)
12 Monte Carlo Methods
307(26)
13 Aquidity Risk
333(24)
14 Stress Testing
357(20)
Part IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS 377(74)
15 Using VAR to Measure and Control Risk
379(24)
16 Using VAR for Active Risk Management
403(22)
17 VAR and Risk Budgeting in Investment Management
425(26)
Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS 451(84)
18 Credit Risk Management
453(38)
19 Operational Risk Management
491(24)
20 Integrated Risk Management
515(20)
Part VI. THE RISK MANAGEMENT PROFESSION 535(38)
21 Risk Management Guidelines and Pitfalls
537(28)
22 Conclusions
565(8)
References 573(12)
Index 585

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