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Description of Value at Risk, 3rd Ed.

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.

Title Information

ISBN:

9780071464956

Pages:

600 pages

Format:

Hardback

Product Code:

147877

Publisher:

McGraw-Hill

Published:

01/11/2006

Edition:

3rd Revised edition

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About Philippe Jorion

Philippe Jorion is a professor of finance at the University of California, Irvine. Editor in chief of the Journal of Risk, Jorion is a consultant to institutions including PIMCO, the World Bank, AIMR, the Federal Reserve, and the United Nations.

Contents of Value at Risk, 3rd Ed.

Preface
Acknowledgments

Part I. MOTIVATION
1 The Need for Risk Management
2 Lessons from Financial Disasters
3 VAR-Based Regulatory Capital

Part II. BUILDING BLOCKS
4 Tools for Measuring Risk
5 Computing VAR
6 Backtesting VAR
7 Portfolio Risk: Analytical Methods
8 Multivariate Models
9 Forecasting Risk and Correlations

Part III. VALUE-AT-RISK SYSTEMS
10 VAR Methods
11 VAR Mapping
12 Monte Carlo Methods
13 Aquidity Risk
14 Stress Testing

Part IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS
15 Using VAR to Measure and Control Risk
16 Using VAR for Active Risk Management
17 VAR and Risk Budgeting in Investment Management

Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS
18 Credit Risk Management
19 Operational Risk Management
20 Integrated Risk Management

Part VI. THE RISK MANAGEMENT PROFESSION
21 Risk Management Guidelines and Pitfalls
22 Conclusions

References
Index