Value at Risk, 3rd Ed., Part VI - The Risk Management ProfessionThis chapter comes from Value at Risk, 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. |
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arbitrage bank bank’s based on historical Black-Scholes model capital changes Chapter controls corporate bond correlation Counterparty covariance matrix create systemic risk credit exposure credit risk CRMPG currency current exposure default devaluation distribution effect estimation risk expected returns subject factor Figure financial institutions financial markets financial risks fixed currency floating exchange rate Goldman Sachs hedge fund historical data Implementation Risk industry instance interest-rate options investors Jorion large losses lessons leverage limitations liquidity risk Long-Term Capital Management LTCM LTCM’s market risk market values marking to market methods MILESTONE DOCUMENTS million Model risk NatWest number of assets operational risk owing Papouis parameters peso Peso/dollar portfolio insurance portfolio management portfolio optimization portfolio risk potential problem profits risk management practices risk management profession risk management systems risk management techniques risk meas risk measurement risk models senior management short position spread Stability Risks stress testing tion traders Treasury bond Users value at risk VAR-based