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Value at risk :the new benchmark for managing financial risk /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Value at risk :Philippe Jorion.
其他題名:
the new benchmark for managing financial risk /
作者:
Jorion, Philippe,
出版者:
New York :McGraw-Hill,c2007.
面頁冊數:
xvii, 602 p. :ill. ;24 cm.
標題:
Risk management.
電子資源:
http://www.loc.gov/catdir/enhancements/fy0659/2006015513-b.html
電子資源:
http://www.loc.gov/catdir/enhancements/fy0659/2006015513-d.html
ISBN:
9780071260473 (International ed. : pbk.)
Value at risk :the new benchmark for managing financial risk /
Jorion, Philippe,1955-
Value at risk :
the new benchmark for managing financial risk /Philippe Jorion. - 3rd ed. - New York :McGraw-Hill,c2007. - xvii, 602 p. :ill. ;24 cm.
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.
ISBN: 9780071260473 (International ed. : pbk.)
LCCN: 2006015513Subjects--Topical Terms:
174339
Risk management.
LC Class. No.: HG6024.3 / .J683 2007
Dewey Class. No.: 658.15/5
Value at risk :the new benchmark for managing financial risk /
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the new benchmark for managing financial risk /
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Includes bibliographical references (p. 573-584) and index.
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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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