
Value at Risk, 3rd Ed.
3rd EditionISBN10: 0071464956
ISBN13: 9780071464956
Copyright: 2007
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The estimated amount of time this product will be on the market is based on a number of factors, including faculty input to instructional design and the prior revision cycle and updates to academic research-which typically results in a revision cycle ranging from every two to four years for this product. Pricing subject to change at any time.
The estimated amount of time this product will be on the market is based on a number of factors, including faculty input to instructional design and the prior revision cycle and updates to academic research-which typically results in a revision cycle ranging from every two to four years for this product. Pricing subject to change at any time.
Program Details
Acknowledgments
Part I. MOTIVATION
1. The Need for Risk Management
2. Lessons from Financial Disasters
3. VAR-Based Regulatory Capital
Part II. BUILDING BLOCKS
4. Tools for Measuring Risk
5. Computing VAR
6. Backtesting VAR
7. Portfolio Risk: Analytical Methods
8. Multivariate Models
9. Forecasting Risk and Correlations
Part III. VALUE-AT-RISK SYSTEMS
10. VAR Methods
11. VAR Mapping
12. Monte Carlo Methods
13. Liquidity Risk
14. Stress Testing
Part IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS
15. Using VAR to Measure and Control Risk
16. Using VAR for Active Risk Management
17. VAR and Risk Budgeting in Investment Management
Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS
18. Credit Risk Management
19. Operational Risk Management
20. Integrated Risk Management
Part VI. THE RISK MANAGEMENT PROFESSION
21. Risk Management Guidelines and Pitfalls
22. Conclusions
References
Index
About the Author
Philippe Jorion
Philippe Jorion (Irvine, CA) is a professor of finance at the University of California at Irvine. Among his previous books is Financial Risk Management: Domestic and International Dimensions.
Acknowledgments
Part I. MOTIVATION
1. The Need for Risk Management
2. Lessons from Financial Disasters
3. VAR-Based Regulatory Capital
Part II. BUILDING BLOCKS
4. Tools for Measuring Risk
5. Computing VAR
6. Backtesting VAR
7. Portfolio Risk: Analytical Methods
8. Multivariate Models
9. Forecasting Risk and Correlations
Part III. VALUE-AT-RISK SYSTEMS
10. VAR Methods
11. VAR Mapping
12. Monte Carlo Methods
13. Liquidity Risk
14. Stress Testing
Part IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS
15. Using VAR to Measure and Control Risk
16. Using VAR for Active Risk Management
17. VAR and Risk Budgeting in Investment Management
Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS
18. Credit Risk Management
19. Operational Risk Management
20. Integrated Risk Management
Part VI. THE RISK MANAGEMENT PROFESSION
21. Risk Management Guidelines and Pitfalls
22. Conclusions
References
Index
About the Author
Philippe Jorion
Philippe Jorion (Irvine, CA) is a professor of finance at the University of California at Irvine. Among his previous books is Financial Risk Management: Domestic and International Dimensions.
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