Value at risk : the new benchmark for managing financial risk / Philippe Jorion.

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Bibliographic Details
Main Author: Jorion, Philippe, 1955-
Format: Book
Language:English
Published: New York : McGraw-Hill, [2007], ©2007.
Edition:Third edition.
Subjects:
Physical Description:xvii, 602 pages : illustrations ; 24 cm
Table of 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.