PHILIPPE JORION – VALUE AT RISK

Value at Risk has become the standard for risk management. This international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion gives the most current information needed to understand and implement VAR as well as manage newer dimensions of financial risk. The featured updates include:

• An increased emphasis on operational risk
• Using VAR for integrated risk management and to measure economic capital
• Applications of VAR to risk budgeting in investment management
• Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas
• Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book

The addition of short questions and exercises at the end of each chapter is a new feature in the Third Edition. Detailed answers can be found on the companion website www.pjorion.com/var/. Additional questions that course instructors can assign to their students can be found on the web site.

Jorion addresses the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. VAR can be used to measure and control risk for trading, investment management, and enterprise-wide risk management. Key pitfalls to watch out for are in risk-management systems.

The value-at-risk approach has improved worldwide standards for managing risk. Professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results to keep ahead of the curve.

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Philippe Jorion is the author of Value At Risk, Free Value At Risk, and Value At Risk Review.