- Item type
- Book
- Language
- anglais
- Pages
- xvi, 602 p.
- Edition
- 3rd International Edition
- Publication year
- 2007
- ISBN
- 978-0-07-126047-3
- Content notes
- 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 activate 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.
"Thoroughly revised and updated with new information and critical analysis, Philippe Jorion's classic Value at Risk remains the industry leader in risk management. The third edition features an increased emphasis on operational risk, coverage of new risk management techniques and the recently finalized Basel Accords, applications of VAR to risk budgeting and integrated risk management, new end-of-chapter exercises, and much more." - from back cover.
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 activate 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..
