Value at Risk, 3rd Ed. The New Benchmark for

Thoroughly revised and updated with new information and critical analysis, Philippe Jorion's classic Value at Risk remains the industry leader in risk management. The third edition features an increased emphasis on operational risk, coverage of new risk management techniques and the recently finalized Basel Accords, applications of VAR to risk budgeting and integrated risk management, new end-of-chapter exercises, and much more. Book jacket.

Philippe Jorion is a professor of finance at the University of California, Irvine. Editor in chief of the Journal of Risk, Jorion is a consultant to institutions including PIMCO, the World Bank, AIMR, the Federal Reserve, and the United Nations.

Preface

vii

Acknowledgments

xvii

Part I. MOTIVATION

1

(72)

1 The Need for Risk Management

3

(28)

2 Lessons from Financial Disasters

31

(18)

3 VAR-Based Regulatory Capital

49

(24)

Part II. BUILDING BLOCKS

73

(172)

4 Tools for Measuring Risk

75

(30)

5 Computing VAR

105

(34)

6 Backtesting VAR

139

(20)

7 Portfolio Risk: Analytical Methods

159

(30)

8 Multivariate Models

189

(30)

9 Forecasting Risk and Correlations

219

(26)

Part III. VALUE-AT-RISK SYSTEMS

245

(132)

10 VAR Methods

247

(30)

11 VAR Mapping

277

(30)

12 Monte Carlo Methods

307

(26)

13 Aquidity Risk

333

(24)

14 Stress Testing

357

(20)

Part IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS

377

(74)

15 Using VAR to Measure and Control Risk

379

(24)

16 Using VAR for Active Risk Management

403

(22)

17 VAR and Risk Budgeting in Investment Management

425

(26)

Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS

451

(84)

18 Credit Risk Management

453

(38)

19 Operational Risk Management

491

(24)

20 Integrated Risk Management

515

(20)

Part VI. THE RISK MANAGEMENT PROFESSION

535

(38)

21 Risk Management Guidelines and Pitfalls

537

(28)

22 Conclusions

565

(8)

References

573

(12)

Index

585

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

Summary

Author Biography

Table of Contents

Supplemental Materials