Value at risk : the new benchmark for managing financial risk / Philippe Jorion.
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TextLanguage: English Publisher: New York : McGraw\Hill, 2007Edition: Third editionDescription: xvii, 602 páginas : ilustraciones ; 24 cmContent type: texto Media type: sin mediación Carrier type: volumenISBN: 0071464956; 9780071464956Subject(s): Futuros (Comercio) | Futuros (Finanzas) | Empresas -- Finanzas | Riesgo (Economía) | Análisis de inversiones | Administración de riesgosDDC classification: 332.678 | Item type | Current library | Collection | Call number | Vol info | Copy number | Status | Date due | Barcode | Item holds |
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General | 332.678 / J828v (Browse shelf(Opens below)) | Ej. 1 | 1 | Available | 7101017506 |
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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