Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk - Rilegato

Jorion, Philippe

 
9780071464956: Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk
Rilegato
ISBN 10: 0071464956 ISBN 13: 9780071464956
Casa editrice: McGraw Hill, 2006

Sinossi

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, 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.

    • Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

    Informazioni sull?autore

    Philippe Jorion (Irvine, CA) is a professor of finance at the University of California at Irvine. Among his previous books is Financial Risk Management: Domestic and International Dimensions.

    Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

    Editore
    McGraw Hill
    Data di pubblicazione
    2006
    Lingua
    Inglese
    ISBN 10 
    0071464956
    ISBN 13 
    9780071464956
    Rilegatura
    Copertina rigida
    Numero edizione
    3
    Numero di pagine
    624
    Contatto del produttore
    non disponibile
    Persona responsabile
    Ufficio Anagrafiche Messaggerie
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    ufficio.anagrafiche@meli.it

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