Name: Value at Risk
SKU: 212486
Price: 35000 KRW
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Rating: 6.0 (1 reviews)
Author: Philippe Jorion
ISBN: 9780071355025

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외서 Value at Risk

The New Benchmark for Managing Financial Risk Hardcover

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Philippe Jorion

McGraw-Hill 2000.08.01.

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BACK COVER] Value at Risk The Benchmark for Managing Financial Risk Second Edition Philippe Jorion [HEADLINE] Extensively Revised and Updated--Philippe Jorion's Comprehensive Reference on Financial Risk Management [SUBHEAD] Praise for Value at Risk, Second Edition: "This book has become an industry standard for value at risk." --Leslie Rahl, President Capital Markets Risk Advisors "Professor Jorion has succeeded in producing a great second edition. The book excels in explaining a complex subject with amazing clarity and depth. I recommend it highly to the novice as well as the practitioner and regulator of financial risk management. The theory is presented in plain language and brilliantly interspersed with examples of how the craft evolved--as well as accidents and what can be learned from them. A 'must read.'" --Till Guldimann, Senior Vice President SunGard Trading and Risk Systems "Many books on VaR can be intimidating. Philippe Jorion offers a pragmatic and readable guide that covers the basics as well as recent best practice. A good primer, but also a good review of the state of the art." --Leo de Bever, Vice-President, Research and Economics Ontario Teachers' Pension Plan Board In 1996, the first edition of Philippe Jorion's Value at Risk gave financial professionals worldwide the first comprehensive description of value at risk (VAR). Now, to keep pace with sweeping changes and advances in the field of risk management, Jorion updates this state-of-the-art reference with new information on: - Latest risk management methods including backtesting, liquidity risk, and stress-testing - Techniques for understanding--and working within--today's new environment of integrated riskmanagement, including market, credit, and operational risk - Strategic application of RAROC methods and VAR investment management systems [FLAP COPY] Value at Risk The Benchmark for Managing Financial Risk Second Edition Philippe Jorion Even as risk management assumes an increasingly central role in financial institutions, the actual understanding of financial risk continues to be problematic. Financial disasters still occur--witness Asia's 1997 market turmoil, Russia's 1998 default, and the near-collapse of Long Term Capital Management--as institutions either fail to see or, in some cases, completely ignore easily recognizable hallmarks of impending financial disaster. For financial risk managers attempting to navigate this tumultuous, rapidly changing environment, the updated, expanded, and substantially revised Value at Risk, second edition, will clarify the latest advances in risk management. The book's extensive restructuring, and broader scope, is reflected in its new subtitle. Whereas the first edition was described as "the new benchmark for controlling market risk," Value at Risk, second edition is now identified as "the benchmark for managing financial risk." With more than 200 pages of new material, the updated edition of this international bestseller (translated into Chinese, Hungarian, Japanese, Korean, Polish, Portuguese, and Spanish) provides financial professionals with the latest information they need to understand and implement value at risk--and manage newer dimensions of financial risk. Initially confined to measuring market risk, VAR is now being used to actively control financial risk well beyond derivatives. Professionals can depend on this substantially newedition of Value at Risk for comprehensive, authoritative counsel and assistance in: - Measuring aggregate risk, and communicating a corporation's financial risks to both senior management and shareholders - Setting position limits, and creating a common denominator with which to compare risky activities in diverse markets - Allocating capital within an institution--by adjusting returns for risk and implementing risk-adjusted performance measures (RAPM). As we move into the 21st century, the value at risk approach will continue to improve worldwide standards for managing numerous types of financial risk. Traders and financial risk managers; financial institution executives and supervisors; regulators; researchers; and professors, graduate students, and others who need to know more about VAR, its application, and its results will get access to updated information and practices--plus valuable data and guidance--in Value at Risk, second edition. About the Author Philippe Jorion, Ph.D., is Professor of Finance at the University of California at Irvine. Editor-in-chief of Journal of Risk and author of more than 50 professional articles on risk management and international finance, he also wrote Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County and cowrote Financial Risk Management. Dr. Jorion is a frequent speaker at academic and professional conferences, and has also served as a consultant to various institutions.

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Part One. Motivation
Chapter 1. The Need for Risk Management
Chapter 2. Lessons form Financial Disasters
Chapter 3. Regulatory Capital Standards with VAR

Part Two. Building Blocks
Chapter 4. Measuring Financial Risk
Chapter 5. Computing Value at Risk
Chapter 6. Backtesting VAR Models
Chapter 7. Portfolio Risk : Analytical Methods
Chapter 8. Forecasting Risks and Correlations

Part Three. Value-at-Risk Systems
Chapter 9. VAR Methods
Chapter 10. Stress Testing
Chapter 11. Implementing Delta-Normal VAR
Chapter 12. Simulation Methods
Chapter 13. Credit Risk
Chapter 14. Liquidity Risk

Part Four. Applications of Risk-Management Systems
Chapter 15. Using VAR to Measure and Control Risk
Chapter 16. Using VAR for Active Risk Management
Chapter 17. VAR in Investment Management
Chapter 18. The Technology of Risk
Chapter 19. Operational Risk Management
Chapter 20. Integrated Risk Management

Part Five. The Risk-Management Profession
Chapter 21. Risk Management : Guidelines and Pitfalls
Chapter 22. Conclusions

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품목정보

발행일: 2000년 08월 01일

쪽수, 무게, 크기: 544쪽 | 1130g | 크기확인중

ISBN13: 9780071355025

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Waht is VaR? VaR is a method of assessing risk that uses standard statistical techiniqes routinely used in other techinical fiedls. Formally, VaR measures the worst expected loss over a given horizno under normal market conditions at a given confidence level. Based on firm scientific foundations, VaR provides users with a summary measure of market risk. ...

In contrast with traditional risk measures, VaR provides an aggressive view of a portfolio's risk that accounts for leverage, correlations and current positions. As a result, it is truly a forward-looking risk measure. VaR, however, applies not only to derivatives but to all financial instruments Furthermore, the methodology can also be broadened from market risk to other types of financial risks.

--- Preface

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