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Value at Risk The New Benchmark for Managing Financial Risk

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ISBN-10: 0071355022

ISBN-13: 9780071355025

Edition: 2nd 2001 (Revised)

Authors: Philippe Jorion

List price: $75.00
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Description:

This second edition has been significantly updated. Jorion sites the recent expansion of the derivatives market, new risk instruments and the Asian Crisis as key update issues.
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Book details

List price: $75.00
Edition: 2nd
Copyright year: 2001
Publisher: McGraw-Hill Companies, The
Publication date: 8/17/2000
Binding: Hardcover
Pages: 544
Size: 6.25" wide x 9.00" long x 2.00" tall
Weight: 3.080
Language: English

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
Motivationp. 1
The Need for Risk Managementp. 3
Lessons from Financial Disastersp. 31
Regulatory Capital Standards with VARp. 51
Building Blocksp. 79
Measuring Financial Riskp. 81
Computing Value at Riskp. 107
Backtesting VAR Modelsp. 129
Portfolio Risk: Analytical Methodsp. 147
Forecasting Risks and Correlationsp. 183
Value-at-Risk Systemsp. 203
VAR Methodsp. 205
Stress Testingp. 231
Implementing Delta-Normal VARp. 255
Simulation Methodsp. 291
Credit Riskp. 313
Liquidity Riskp. 339
Applications of Risk-Management Systemsp. 359
Using VAR to Measure and Control Riskp. 361
Using VAR for Active Risk Managementp. 383
VAR in Investment Managementp. 407
The Technology of Riskp. 431
Operational Risk Managementp. 447
Integrated Risk Managementp. 467
The Risk-Management Professionp. 481
Risk Management: Guidelines and Pitfallsp. 483
Conclusionsp. 511
Referencesp. 521
Indexp. 531
Table of Contents provided by Blackwell. All Rights Reserved.