Value at Risk: The New Benchmark for Managing Financial  Risk - Philippe Jorion

Value at Risk: The New Benchmark for Managing Financial Risk

(Autor)

Buch | Softcover
364 Seiten
2000 | 2nd edition
McGraw Hill Higher Education (Verlag)
978-0-07-122831-2 (ISBN)
27,40 inkl. MwSt
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Includes a chapter on liquidity risk, information on the risk instruments and the expanded derivatives market, developments in Monte Carlo methods, and more. This book helps professional risk managers understand, and operate within, dynamic risk environment.
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.

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.

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.

Erscheint lt. Verlag 16.9.2000
Zusatzinfo 60ill.
Verlagsort London
Sprache englisch
Themenwelt Wirtschaft Betriebswirtschaft / Management Finanzierung
ISBN-10 0-07-122831-4 / 0071228314
ISBN-13 978-0-07-122831-2 / 9780071228312
Zustand Neuware
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