Value at risk : the new benchmark for managing financial risk / Philippe Jorion.
Material type: TextPublication details: New York : McGraw-Hill, c2007.Edition: 3rd edDescription: xvii, 602 p. : ill. ; 24 cmISBN:- 9780071464956
- 658.155 22
- HG6024.3 .J683 2007
Item type | Current library | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|
Book | Indian Institute of Management Visakhapatnam | 658.155 (Browse shelf(Opens below)) | Checked out | 03/23/2024 | 001764 |
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.
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