Value at risk : the new benchmark for managing financial risk / Philippe Jorion.
Material type:
TextPublication details: New Delhi : McGraw-Hill Education Pvt. Ltd; 2009.Edition: 3rd edDescription: xvii, 602 p. : ill. ; 24 cmISBN: - 0071464956 (hardcover : alk. paper)
- 9780070700420
- 0070700427
- 9780071464956
- 658.155 JOR/Val 22
- HG6024.3 .J683 2007
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Goa University Library General Stacks | 658.155 JOR/Val (Browse shelf(Opens below)) | Available | 140630 |
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| 658.155 JEY/Ris Risk management: 10 principles | 658.155 JEY/Ris Risk management: 10 principles | 658.155 JOR/Fin Financial risk manager handbook plus test bank : | 658.155 JOR/Val Value at risk : | 658.155 JOR/Val Value at risk: the new benchmark for managing financial risk - 2nd ed. | 658.155 KOL/Ris Risk monetization: converting threats and opportunities into impact on project value | 658.155 KOL/Ris Risk monetization: converting threats and opportunities into impact on project value |
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.
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