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- Product code: 13037
- ISBN: 0071355022,
ISBN13: 9780071355025,
360 pages, hardback
Published by Irwin on 2000
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Description of Value at Risk |
In 1996, the first edition of Philippe Jorion's Value at Risk gave financial professionals worldwide the first comprehensive description of value at risk (VAR). Now, to keep pace with sweeping changes and advances in the field of risk management, Jorion updates this state-of-the-art reference with new information on:
- Latest risk management methods including backtesting, liquidity risk, and stress-testing
- Techniques for understanding - and working within - today's new environment of integrated risk management, including market, credit, and operational risk
- Strategic application of RAROC methods and VAR investment management systems
Value at Risk is required reading for:
- Decision makers in financial institutions all over the world.
- Asset managers for pension and mutual funds.
- All current and potential users of financial derivatives
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Reviews'As the first comprehensive book on value at risk, this should become a standard reference on a topic that is of critical importance to all financial market participants.'
Gary Perlin, Vice President, The World Bank
'In the late 1990s, the new benchmark for corporate performance will be risk management and value at risk, as senior management increasingly focuses not just on the creation of value but the risks associated with particular courses of action. This clear and comprehensive book represents a significant contribution to the development of the field.'
Martin Nance, Bankers Trust
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Contents of Value at Risk |
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
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