Value at risk : the new benchmark for managing financial risk /
By: Jorion, Philippe
Material type:
BookPublisher: New York : McGraw-Hill, c2007.Edition: 3rd ed.Description: xvii, 602 p. : ill ; 24 cm.ISBN: 0071464956 (hardcover : alk. paper); 9780071464956Program: FIN925 FIN956Subject(s): Financial futures | Risk managementDDC classification: 658.15/5 Online resources: Location Map
| Item type | Home library | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|
| REGULAR | University of Wollongong in Dubai Main Collection | 658.155 JO VA (Browse shelf) | Available | T0034437 | ||
| REGULAR | University of Wollongong in Dubai Main Collection | 658.155 JO VA (Browse shelf) | Available | T0034417 |
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.
FIN925 FIN956