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Value at risk : the new benchmark for managing financial risk için kapak resmi
Başlık:
Value at risk : the new benchmark for managing financial risk
Yazar:
Jorion, Philippe, 1955-.
ISBN:
9780071355025
Yazar Ek Girişi:
Basım Bilgisi:
2nd. ed.
Fiziksel Tanımlama:
544 sayfa : 24 cm.
Genel Not:
Includes bibliographical references (p. 521-530) and index.
İçerik:
Since its original publication, Value at Risk has become the industry standard in risk management.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.
Özet:
PART ONE MOTIVATION 1. Chapter 1 The Need for Risk Management 3. Chapter 2 Lessons from Financial Disasters 31. Chapter 3 Regulatory Capital Standards with VAR 51. PART TWO BUILDING BLOCKS 79. Chapter 4 Measuring Financial Risk 81. Chapter 5 Computing Value at Risk 107. Chapter 6 Backtesting VAR Models 129. Chapter 7 Portfolio Risk: Analytical Methods 147. Chapter 8 Forecasting Risks and Correlations 183. PART THREE VALUE-AT-RISK SYSTEMS 203. Chapter 9 VAR Methods 205. Chapter 10 Stress Testing 231. Chapter 11 Implementing Delta-Normal VAR 255. Chapter 12 Simulation Methods 291. Chapter 13 Credit Risk 313. Chapter 14 Liquidity Risk 339. PART FOUR APPLICATIONS OF RISK-MANAGEMENT SYSTEMS 359. Chapter 15 Using VAR to Measure and Control Risk 361. Chapter 16 Using VAR for Active Risk Management 383. Chapter 17 VAR in Investment Management 407. Chapter 18 The Technology of Risk 431. Chapter 19 Operational Risk Management 447. Chapter 20 Integrated Risk Management 467. PART FIVE THE RISK-MANAGEMENT PROFESSION 481. Chapter 21 Risk Management: Guidelines and Pitfalls 483. Chapter 22 Conclusions 511. References 521. Index 531.
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Library
Materyal Türü
Demirbaş
Yer Numarası
Durumu / Lokasyon / İade Tarihi
Arıyor...
Kitap EKOBKN0013063 658.155 JOR 2001
Arıyor...

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