Value At Risk: The New Benchmark for Managing Financial Risk

摘要: Since its original publication, Value at Risk has become the industry standard in risk management. Now Third Edition, this international bestseller addresses fundamental changes field that have occurred across globe recent years. Philippe Jorion provides 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 Using VAR for integrated management measure economic capital Applications budgeting investment Discussion new risk-management techniques, including extreme value theory, principal components, copulas Extensive coverage recently finalized Basel II adequacy rules commercial banks, throughout book A major feature Edition is addition short questions exercises end each chapter, making it even easier check progress. Detailed answers are posted companion web site www.pjorion.com/var/. The contains other materials, additional course instructors can assign their students. leaves no stone unturned, addressing building blocks from computing backtesting models forecasting correlations. He outlines use control trading, management, enterprise-wide also points out key pitfalls watch systems. value-at-risk approach continues improve worldwide standards managing numerous types more than ever, professionals depend comprehensive, authoritative counsel VAR, application, results-and keep ahead curve.