Value at risk :
Jorion, Philippe, 1955-
Value at risk : the new benchmark for managing financial risk / Philippe Jorion. - 3rd ed. - New Delhi : McGraw-Hill Education Pvt. Ltd; 2009. - xvii, 602 p. : ill. ; 24 cm.
Includes bibliographical references (p. 573-584) and index.
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.
0071464956 (hardcover : alk. paper) 9780070700420 0070700427 9780071464956
2006015513
Financial futures.
Risk management.
HG6024.3 / .J683 2007
658.155 JOR/Val
Value at risk : the new benchmark for managing financial risk / Philippe Jorion. - 3rd ed. - New Delhi : McGraw-Hill Education Pvt. Ltd; 2009. - xvii, 602 p. : ill. ; 24 cm.
Includes bibliographical references (p. 573-584) and index.
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.
0071464956 (hardcover : alk. paper) 9780070700420 0070700427 9780071464956
2006015513
Financial futures.
Risk management.
HG6024.3 / .J683 2007
658.155 JOR/Val