Value at Risk, 3rd Ed., Part II - Building BlocksThis 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. |
Contents
| 75 | |
5 Computing VAR | 105 |
6 Backtesting VAR | 139 |
7 Portfolio Risk Analytical Methods | 159 |
8 Multivariate Models | 189 |
9 Forecasting Risk and Correlations | 219 |
Common terms and phrases
95 percent confidence approach approximation Assuming backtesting bank Basel Committee beta bond Canadian dollar capital changes chapter coefficient compute confidence bands copula correlation matrix covariance matrix cutoff CVAR daily defined density diagonal model dollar Equation estimate euro example exchange rate expected return expected tail loss explains exponential exposure Figure function GARCH model hedge horizon implies increases instance interval invested J.P. Morgan kurtosis marginal market risk mean method million monthly multivariate normal copula normal distribution number of assets number of exceptions number of observations options percent confidence level portfolio manager portfolio risk position principal component probability probability density function provides random variables reported risk factors risk management risk measure RiskMetrics sample quantile Sharpe ratio shows standard deviation standard normal statistical student Table term tion trading days type 1 error uncorrelated undiversified value at risk vector Volatility forecast weights yield zero