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

by Jorion, Philippe

• ISBN13: 9780071464956
• ISBN10: 0071464956
• Edition: 3rd
• Format: Hardcover
• Copyright: 2006-11-09
• Publisher: McGraw Hill

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