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Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition - Hardcover

Jorion, Philippe

  • 3.87 out of 5 stars
    133 ratings by Goodreads
 
9780071464956: Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition
Hardcover
ISBN 10: 0071464956 ISBN 13: 9780071464956
Publisher: McGraw Hill, 2006

Synopsis

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include:

  • An increased emphasis on operational risk
  • Using VAR for integrated risk management and to measure economic capital
  • Applications of VAR to risk budgeting in investment management
  • Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas
  • Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book

    A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students.

    Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems.

    The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

    • "synopsis" may belong to another edition of this title.

    About the Author

    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.

    "About this title" may belong to another edition of this title.

    Publisher
    McGraw Hill
    Publication date
    2006
    Language
    English
    ISBN 10 
    0071464956
    ISBN 13 
    9780071464956
    Binding
    Hardcover
    Edition number
    3
    Number of pages
    624
    Rating
    • 3.87 out of 5 stars
      133 ratings by Goodreads