Value at risk : the new benchmark for managing financial risk /
Philippe Jorion.
- 3rd ed.
- New York : McGraw-Hill, c2007.
- xvii, 602 p. : ill. ; 24 cm.
Includes bibliographical references (p. 573-584) and index.
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.