Document Type
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BL
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Record Number
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1015279
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Doc. No
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b769649
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Main Entry
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Jorion, Philippe,1955-
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Title & Author
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Value at risk : : the new benchmark for managing financial risk /\ Philippe Jorion.
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Edition Statement
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3rd ed.
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Publication Statement
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New York :: McGraw-Hill,, ©2007.
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Page. NO
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xvii, 602 pages :: illustrations ;; 24 cm
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ISBN
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0071260471
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: 0071464956
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: 9780071260473
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: 9780071464956
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Bibliographies/Indexes
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Includes bibliographical references (pages 573-584) and index.
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Contents
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Motivation -- The need for risk management -- Lessons from financial disasters -- VAR-based regulatory capital -- Building blocks -- Sources of financial risk -- Computing VAR -- Backtesting VAR -- Portfolio risk: analytical methods -- Multivariate models -- Forecasting risks and correlations -- Value-at-risk systems -- VAR methods -- VAR mapping -- Monte Carlo methods -- Liquidity risk -- Stress testing -- Applications of risk management systems -- Using VAR to measure and control risk -- Using VAR for active risk management -- VAR and risk budgeting in investment management -- Extensions of risk management systems -- Credit risk management -- Operational risk management -- Integrated risk management -- The risk management profession -- Risk management: guidelines and pitfalls -- Conclusions.
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Abstract
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This third edition has been significantly updated. Jorion cites operational risk, new risk management techniques and the Basel Accords as key update issues.
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Subject
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Financial futures.
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Subject
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Risk management.
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Subject
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Gestion du risque.
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Subject
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Marchés à terme d'instruments financiers.
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Subject
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Derivat
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Subject
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Financial futures.
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Subject
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Kapitalmarkt
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Subject
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Kreditmarkt
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Subject
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Marktrisiko
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Subject
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Risikokapital
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Subject
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Risikomanagement
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Subject
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Risk management.
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Subject
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Unternehmen
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Subject
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Value at Risk
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Subject
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Derivat (Wertpapier)
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Subject
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Kapitalmarkt.
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Subject
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Kreditmarkt.
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Subject
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Marktrisiko.
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Subject
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Risikomanagement.
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Subject
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Unternehmen.
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Subject
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Value at Risk.
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Dewey Classification
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658.15/5
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LC Classification
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HG6024.3.J683 2007
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NLM classification
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HN 230 JOR.uk-btusl
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QK 300rvk
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QK 600rvk
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QK 620rvk
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QK 660rvk
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WIR 040fstub
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WIR 170fstub
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WIR 175fstub
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WIR 905fstub
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