Shows you how to navigate your way in a dynamic risk environment. This title includes an emphasis on operational risk, discussion of risk-management applications, and changes in definitions of industry standards.
Shows you how to navigate your way in a dynamic risk environment. This title includes an emphasis on operational risk, discussion of risk-management applications, and changes in definitions of industry standards.
Philippe Jorion (Irvine, CA) is a professor of finance at the University of California at Irvine. Among his previous books is Financial Risk Management: Domestic and International Dimensions.
Inhaltsangabe
Preface Acknowledgments Part I. MOTIVATION 1. The Need for Risk Management 2. Lessons from Financial Disasters 3. VAR-Based Regulatory Capital 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 III. VALUE-AT-RISK SYSTEMS 10. VAR Methods 11. VAR Mapping 12. Monte Carlo Methods 13. Liquidity Risk 14. Stress Testing 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 Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS 18. Credit Risk Management 19. Operational Risk Management 20. Integrated Risk Management Part VI. THE RISK MANAGEMENT PROFESSION 21. Risk Management Guidelines and Pitfalls 22. Conclusions References Index
Preface Acknowledgments Part I. MOTIVATION 1. The Need for Risk Management 2. Lessons from Financial Disasters 3. VAR-Based Regulatory Capital 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 III. VALUE-AT-RISK SYSTEMS 10. VAR Methods 11. VAR Mapping 12. Monte Carlo Methods 13. Liquidity Risk 14. Stress Testing 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 Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS 18. Credit Risk Management 19. Operational Risk Management 20. Integrated Risk Management Part VI. THE RISK MANAGEMENT PROFESSION 21. Risk Management Guidelines and Pitfalls 22. Conclusions References Index
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