Value at Risk: The New Benchmark for Managing Financial Risk
2nd Edition
Published on 16. September 2000
Book
Paperback/Softback
364 pages
978-0-07-122831-2 (ISBN)
Description
To accommodate sweeping global economic changes, the risk management field has evolved substantially since the first edition of "Value at Risk", making this revised edition a must. Updates include a new chapter on liquidity risk, information on the latest risk instruments and the expanded derivatives market, recent developments in Monte Carlo methods, and more. "Value at Risk, Second Edition", will help professional risk managers understand, and operate within, today's dynamic new risk environment.
More details
Edition
2nd edition
Language
English
Place of publication
London
United States
Publishing group
McGraw-Hill Education - Europe
Target group
College/higher education
Illustrations
60ill.
Dimensions
Height: 0 mm
Width: 0 mm
Thickness: 0 mm
ISBN-13
978-0-07-122831-2 (9780071228312)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Philippe Jorion
Value at Risk, 3rd Ed.
Book
01/2007
3rd Edition
McGraw-Hill Professional
€23.51
Article exhausted; check for reprint
Book
11/2006
3rd Edition
McGraw-Hill Professional
€98.90
Shipment within 15-20 days
Person
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.
Content
Motivation. The Need for Risk Management. Lessons from Financial Disasters. Regulatory Capital Tandards with VAR. Lessons from Financial Disasters. Regulatory Capital Standards with VAR. Building Blocks. Measuring Financial Risk. Computing Value at Risk. Backtesting VAR Models. Porfolio Risk: Analytical Methods. Forecasting Risks and Correlations. Value-At-Risk Systems. VAR Methods. Sress Testing. Implemeneting Delta-Normal VAR. Simulation Methods. Credit Risk. Liquidity Risk. Applications of Risk-Management Systems. Using VAR to Measure and Control Risk. Using VAR for Active Risk Management. VAR in Investment Management. The Technology of Risk. Operational Risk Management. Integrated Risk Management. The Risk-Management Profession. Risk Management: Guidelines and Pitfalls. Conclusions.