Value at risk : the new benchmark for managing financial risk / Philippe Jorion.

By: Material type: TextTextPublication details: New York : McGraw-Hill, c2007.Edition: 3rd edDescription: xvii, 602 p. : ill. ; 24 cmISBN:
  • 0071464956 (hardcover : alk. paper)
  • 9780071464956
Subject(s): DDC classification:
  • 658.1595 JOR 22
LOC classification:
  • HG6024.3 .J683 2007
Online resources:
Contents:
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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Item type Current library Call number Copy number Status Barcode
Books Books The Open University of Tanzania-HQ 658.1595 JOR (Browse shelf(Opens below)) 1 Available 1296

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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