Value at risk: the new benchmark for managing financial risk
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY [u.a.]
McGraw-Hill
2007
|
| Edition: | 3., [extensively rev.] ed. |
| Subjects: | |
| Online Access: | Contributor biographical information Publisher description Inhaltsverzeichnis |
| Physical Description: | XVII, 602 S. graph. Darst. |
| ISBN: | 0071464956 9780071464956 |
Staff View
MARC
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| 100 | 1 | |a Jorion, Philippe |d 1955- |e Verfasser |0 (DE-588)124050638 |4 aut | |
| 245 | 1 | 0 | |a Value at risk |b the new benchmark for managing financial risk |c Philippe Jorion |
| 250 | |a 3., [extensively rev.] ed. | ||
| 264 | 1 | |a New York, NY [u.a.] |b McGraw-Hill |c 2007 | |
| 300 | |a XVII, 602 S. |b graph. Darst. | ||
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| 650 | 4 | |a Marchés à terme d'instruments financiers | |
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| 650 | 4 | |a Risk management | |
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Record in the Search Index
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| adam_text | CONTE NTS
Preface vii
Acknowledgments xvii
Parti. MOTIVATION 1
1 The Need for Risk Management 3
2 Lessons from Financial Disasters 31
3 VAR Based Regulatory Capital 49
Part II. BUILDING BLOCKS 73
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
Part III. VALUE AT RISK SYSTEMS 245
10 VAR Methods 247
11 VAR Mapping 277
12 Monte Carlo Methods 307
13 Liquidity Risk 333
14 Stress Testing 357
vi Contents
Part IV. APPLICATIONS OF RISK MANAGEMENT
SYSTEMS 377
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
Part V. EXTENSIONS OF RISK MANAGEMENT
SYSTEMS 451
18 Credit Risk Management 453
19 Operational Risk Management 491
20 Integrated Risk Management 515
Part VI. THE RISK MANAGEMENT PROFESSION 535
21 Risk Management Guidelines and Pitfalls 537
22 Conclusions 565
References 573
Index 585
|
| adam_txt |
CONTE NTS
Preface vii
Acknowledgments xvii
Parti. MOTIVATION 1
1 The Need for Risk Management 3
2 Lessons from Financial Disasters 31
3 VAR Based Regulatory Capital 49
Part II. BUILDING BLOCKS 73
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
Part III. VALUE AT RISK SYSTEMS 245
10 VAR Methods 247
11 VAR Mapping 277
12 Monte Carlo Methods 307
13 Liquidity Risk 333
14 Stress Testing 357
vi Contents
Part IV. APPLICATIONS OF RISK MANAGEMENT
SYSTEMS 377
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
Part V. EXTENSIONS OF RISK MANAGEMENT
SYSTEMS 451
18 Credit Risk Management 453
19 Operational Risk Management 491
20 Integrated Risk Management 515
Part VI. THE RISK MANAGEMENT PROFESSION 535
21 Risk Management Guidelines and Pitfalls 537
22 Conclusions 565
References 573
Index 585 |
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| dewey-full | 658.15/5 |
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| dewey-ones | 658 - General management |
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| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 3., [extensively rev.] ed. |
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| id | DE-604.BV022207175 |
| illustrated | Illustrated |
| index_date | 2024-07-02T16:25:53Z |
| indexdate | 2024-07-09T20:52:23Z |
| institution | BVB |
| isbn | 0071464956 9780071464956 |
| language | English |
| lccn | 2006015513 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015418548 |
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| spelling | Jorion, Philippe 1955- Verfasser (DE-588)124050638 aut Value at risk the new benchmark for managing financial risk Philippe Jorion 3., [extensively rev.] ed. New York, NY [u.a.] McGraw-Hill 2007 XVII, 602 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Unternehmen (DE-588)4061963-1 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Unternehmen (DE-588)4061963-1 s Value at Risk (DE-588)4519495-6 s Kapitalmarkt (DE-588)4029578-3 s Kreditmarkt (DE-588)4073788-3 s Marktrisiko (DE-588)4506224-9 s http://www.loc.gov/catdir/enhancements/fy0659/2006015513-b.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0659/2006015513-d.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015418548&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Jorion, Philippe 1955- Value at risk the new benchmark for managing financial risk Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt (DE-588)4029578-3 gnd Unternehmen (DE-588)4061963-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Value at Risk (DE-588)4519495-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 gnd Marktrisiko (DE-588)4506224-9 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4061963-1 (DE-588)4381572-8 (DE-588)4519495-6 (DE-588)4073788-3 (DE-588)4121590-4 (DE-588)4506224-9 |
| title | Value at risk the new benchmark for managing financial risk |
| title_auth | Value at risk the new benchmark for managing financial risk |
| title_exact_search | Value at risk the new benchmark for managing financial risk |
| title_exact_search_txtP | Value at risk the new benchmark for managing financial risk |
| title_full | Value at risk the new benchmark for managing financial risk Philippe Jorion |
| title_fullStr | Value at risk the new benchmark for managing financial risk Philippe Jorion |
| title_full_unstemmed | Value at risk the new benchmark for managing financial risk Philippe Jorion |
| title_short | Value at risk |
| title_sort | value at risk the new benchmark for managing financial risk |
| title_sub | the new benchmark for managing financial risk |
| topic | Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt (DE-588)4029578-3 gnd Unternehmen (DE-588)4061963-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Value at Risk (DE-588)4519495-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 gnd Marktrisiko (DE-588)4506224-9 gnd |
| topic_facet | Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt Unternehmen Derivat Wertpapier Value at Risk Kreditmarkt Risikomanagement Marktrisiko |
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