Value at Risk The New Benchmark for Managing Financial Risk

ISBN-10: 0071464956
ISBN-13: 9780071464956
Edition: 3rd 2007 (Revised)
Authors: Philippe Jorion
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Description: This third edition has been significantly updated. Jorion cites operational risk, new risk management techniques and the Basel Accords as key update issues.

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Book details

List price: $85.00
Edition: 3rd
Copyright year: 2007
Publisher: McGraw-Hill Companies, The
Publication date: 11/9/2006
Binding: Hardcover
Pages: 600
Size: 6.50" wide x 9.50" long x 1.75" tall
Weight: 2.244
Language: English

This third edition has been significantly updated. Jorion cites operational risk, new risk management techniques and the Basel Accords as key update issues.

PHILIPPE JORION is Professor of Finance at the School of Business at the University of California at Irvine. He was also a professor at Columbia, Northwestern, the University of Chicago, and the University of British Columbia. He holds an MBA and a PhD from the University of Chicago and a degree in engineering from the University of Brussels. Dr. Jorion has authored more than a hundred publications-directed towards academics and practitioners-on the topic of risk management and international finance. His work has received several prizes for research. Dr. Jorion has written the first five editions of Financial Risk Manager Handbook (Wiley), as well as Financial Risk Management: Domestic and International Dimensions; Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County; and Value at Risk: The New Benchmark for Managing Financial Risk. He is also a Managing Director in the Risk Management Group at Pacific Alternative Asset Management Company (PAAMCO), a global fund of hedge funds.

Preface
Acknowledgments
Motivation
The Need for Risk Management
Lessons from Financial Disasters
VAR-Based Regulatory Capital
Building Blocks
Tools for Measuring Risk
Computing VAR
Backtesting VAR
Portfolio Risk: Analytical Methods
Multivariate Models
Forecasting Risk 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
References
Index

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