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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. :
標題:	Risk management. -
電子資源:	Click for full text (McGrawHill)
ISBN:	0071464956 (hbk.)

Value at risk = the new benchmark for managing financial risk /
Jorion, Philippe,1955-.

Value at riskthe new benchmark for managing financial risk /[electronic resource] :Philippe Jorion. - 3rd ed. - New York :McGraw-Hill,c2007. - xvii, 602 p. :ill.

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: 0071464956 (hbk.)

LCCN: 2006015513Subjects--Topical Terms:

559158
Risk management.
Index Terms--Genre/Form:

554714
Electronic books.

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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