Normal view MARC view

Value at risk: the new benchmark for managing financial risk

Author: Jorion, Philippe Publisher: McGraw-Hill, 2007.Language: EnglishDescription: 602 p. ; 23 cm.ISBN: 9780071464956Type of document: Book
Tags: No tags from this library for this title. Log in to add tags.
Item type Current location Collection Call number Status Date due Barcode Item holds
Book Asia Campus
Main Collection
Print HG6024.3 .J67 2007
(Browse shelf)
900185714
Available 900185714
Total holds: 0

Digitized

CONTENTS Value at Risk Value at Risk Preface Acknowledgments Part I. MOTIVATION 1 The Need for Risk Management 2 Lessons from Financial Disasters 3 VAR-Based Regulatory Capital vii xvii 1 Part II. BUILDING BLOCKS 4 Tools for Measuring Risk 5 Computing VAR 6 Backtesting VAR 7 Portfolio Risk: Analytical Methods 8 Multivariate Models 9 Forecasting Risk and Correlations Part 111. VALUE-AT-RISK SYSTEMS 10 11 12 13 14 VAR Methods VAR Mapping Monte Carlo Methods Liquidity Risk Stress Testing 245 247 277 307 333 357 Part IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS 15 Using VAR to Measure and Control Risk 16 Using VAR for Active Risk Management 17 VAR and Risk Budgeting in Investment Management 377 379 403 425 Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS 18 Credit Risk Management 19 Operational Risk Management 20 Integrated Risk Management 451 45 3 49 1 515 Part VI. THE RISK MANAGEMENT PROFESSION Risk Management Guidelines and Pitfalls 22 Conclusions 21 535 537 565 References Index 573 585

There are no comments for this item.

Log in to your account to post a comment.
Koha 18.11 - INSEAD Catalogue
Home | Contact Us | What's Koha?