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

Front Cover
McGraw Hill Professional, Nov 9, 2006 - Business & Economics - 600 pages

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.

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    Selected pages

    Contents

    Part II Building Blocks
    		73
    Part III ValueatRisk Systems
    		245
    Part IV Applications of Risk Management Systems
    		377
    Part V Extensions of Risk Management Systems
    		451
    Part VI The Risk Management Profession
    		535
    References
    		573
    Index
    		585
    Copyright

    Common terms and phrases

    95 percent confidence approach approximation assume average backtesting bank bank’s Basel Accord Basel Committee Basel II bond cash flows changes Chapter component compute copula corporate correlation cost counterparty covariance matrix create credit exposure credit losses credit risk default defined delta-normal derivatives diversification dollar economic capital Equation equity error estimate example exchange rate expected return Figure financial institutions financial risks firm forecast forward contract function funding liquidity risk global historical simulation horizon increases instance interest rates interest-rate investment investors leverage limits liquidity risk LTCM marginal market risk marking to market maturity million Monte Carlo normal distribution observations operational risk options parameters percent confidence level portfolio risk positions probability problem profits provides quantile RAPM risk factors risk management systems risk measurement RiskMetrics sample scenarios standard deviation stress testing swap Table tails tier 1 capital tion trading valuation value at risk variance volatility zero

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    References to this book

    About the author (2006)

    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.

    Bibliographic information

    TitleValue at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk
    AuthorPhilippe Jorion
    Edition3
    PublisherMcGraw Hill Professional, 2006
    ISBN0071736921, 9780071736923
    Length600 pages
    Subjects ›  › 

    Business & Economics / Industries / Financial Services
      
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