Value At Risk "The New Benchmark For Managing Financial Risk"

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Jorion, Philippe

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ISBN:9780071464956
Editorial: Mcgraw-Hill Interamericana de España
Fecha de la edición:2006
Número de la edición: 3
Encuadernación:Tapa dura
Dimensiones: 0 cm x 0 cm
Nº Pág.:600
Idiomas:Inglés,Ingles

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/ Inversión y Financiación Empresarial

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

1 The need for risk management 3
2 Lessons from financial disasters 31
3 VAR-based regulatory capital 49
4 Tools for measuring risk 75
5 Computing VAR 105
6 Backtesting VAR 139
7 Portfolio risk : analytical methods 159
8 Multivariate models 189
9 Forecasting risk and correlations 219
10 VAR methods 247
11 VAR mapping 277
12 Monte Carlo methods 307
13 Liquidity risk 333
14 Stress testing 357
15 Using VAR to measure and control risk 379
16 Using VAR for active risk management 403
17 VAR and risk budgeting in investment management 425
18 Credit risk management 453
19 Operational risk management 491
20 Integrated risk management 515
21 Risk management guidelines and pitfalls 537
22 Conclusions 565