Value at Risk, 3rd Ed.

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Publisher : McGraw Hill Professional
ISBN 13 : 0071736921
Total Pages : 624 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed. by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed. written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-11-09 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. 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 A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

Value at Risk, 3rd Ed., Part III - Value-at-Risk Systems

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Author :
Publisher : McGraw Hill Professional
ISBN 13 : 0071731601
Total Pages : 135 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed., Part III - Value-at-Risk Systems by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed., Part III - Value-at-Risk Systems written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-10-19 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Value at Risk

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Publisher :
ISBN 13 : 9780071260473
Total Pages : 602 pages
Book Rating : 4.2/5 (64 download)

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Book Synopsis Value at Risk by : Philippe Jorion

Download or read book Value at Risk written by Philippe Jorion and published by . This book was released on 2007 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt: This third edition has been significantly updated. Jorion cites operational risk, new risk management techniques and the Basel Accords as key update issues.

Value At Risk 3E

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Author :
Publisher : Tata McGraw-Hill Education
ISBN 13 : 9780070700420
Total Pages : 0 pages
Book Rating : 4.7/5 (4 download)

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Book Synopsis Value At Risk 3E by : Philippe Jorion

Download or read book Value At Risk 3E written by Philippe Jorion and published by Tata McGraw-Hill Education. This book was released on 2009-12 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

Value at Risk, 3rd Ed., Part I - Motivation

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Author :
Publisher : McGraw Hill Professional
ISBN 13 : 007173158X
Total Pages : 76 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed., Part I - Motivation by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed., Part I - Motivation written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-10-19 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Value at Risk, 3rd Ed., Part V - Extensions of Risk Management Systems

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Author :
Publisher : McGraw Hill Professional
ISBN 13 : 0071731628
Total Pages : 87 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed., Part V - Extensions of Risk Management Systems by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed., Part V - Extensions of Risk Management Systems written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-10-19 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Value at Risk, 3rd Ed., Part VI - The Risk Management Profession

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Author :
Publisher : McGraw Hill Professional
ISBN 13 : 0071731636
Total Pages : 42 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed., Part VI - The Risk Management Profession by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed., Part VI - The Risk Management Profession written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-10-19 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Value at Risk, 3rd Ed., Part IV - Applications of Risk Management Systems

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Author :
Publisher : McGraw Hill Professional
ISBN 13 : 007173161X
Total Pages : 77 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed., Part IV - Applications of Risk Management Systems by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed., Part IV - Applications of Risk Management Systems written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-10-19 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Value at Risk, 3rd Ed., Part II - Building Blocks

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Author :
Publisher : McGraw Hill Professional
ISBN 13 : 0071731598
Total Pages : 176 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed., Part II - Building Blocks by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed., Part II - Building Blocks written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-10-19 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Implementing Value at Risk

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Author :
Publisher : John Wiley & Sons
ISBN 13 : 0470865962
Total Pages : 224 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Implementing Value at Risk by : Philip Best

Download or read book Implementing Value at Risk written by Philip Best and published by John Wiley & Sons. This book was released on 2000-11-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment

Value at Risk

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Publisher : Irwin Professional Publishing
ISBN 13 : 9780786308484
Total Pages : 332 pages
Book Rating : 4.3/5 (84 download)

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Book Synopsis Value at Risk by : Philippe Jorion

Download or read book Value at Risk written by Philippe Jorion and published by Irwin Professional Publishing. This book was released on 1997 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Noted author, lecturer and professor Dr. Philippe Jorion has written Value at Risk: The New Benchmark for Controlling Derivatives Risk, the first comprehensive book on value at risk, a system which allows you to gauge financial risks and take proactive steps to control those risks. Through detailed, fascinating case histories, discover how institutions have been burned by their inattention to financial risks, and how you can avoid a similar fate."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved

Risk Budgeting

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Publisher : John Wiley & Sons
ISBN 13 : 1118160835
Total Pages : 242 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis Risk Budgeting by : Neil D. Pearson

Download or read book Risk Budgeting written by Neil D. Pearson and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutionelle Anleger, Fonds- und Portfoliomanager müssen Risiken eingehen, wenn sie Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko. "Risk Budgeting: Portfolio Problem Solving with VaR" liefert die Antwort auf diese Frage. Beim Konzept des Risk Budgeting geht es um Risiko- und Kapitalallokation auf der Grundlage erwarteter Erträge und Risiken, mit dem Ziel, höhere Renditen zu erwirtschaften im Rahmen eines vordefinierten Gesamtrisikoniveaus. Mit Hilfe quantitativer Methoden zur Risikomessung, einschließlich der Value at Risk-Methode läßt sich das Risiko ermitteln und bewerten. Value at Risk (VaR) ist ein Verfahren zur Risikobewertung, das Banken ursprünglich zur Messung und Begrenzung von Marktpreisrisiken eingesetzt haben. Heute wird die VaR-Methode auch verstärkt im Risikomanagement eingesetzt. Dieses Buch bietet eine fundierte Einführung in die VaR-Methode sowie in Verfahren zur Risikomessung bei Extremereignissen und Krisenszenarien (Stress Testing). Darüber hinaus erklärt es, wie man mit Hilfe des Risk Budgeting ein effizienteres Portfoliomanagement erreicht. "Risk Budgeting: Portfolio Problem Solving with VaR" ist das einzige Buch auf dem Markt, das Risk Budgeting und VaR - zwei brandaktuelle Themen im Portfoliomanagement - speziell für institutionelle Investment- und Portfolio-Manager aufbereitet. Eine unverzichtbare Lektüre.

Hands-On Value-at-Risk and Expected Shortfall

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Author :
Publisher : Springer
ISBN 13 : 3319723200
Total Pages : 174 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Hands-On Value-at-Risk and Expected Shortfall by : Martin Auer

Download or read book Hands-On Value-at-Risk and Expected Shortfall written by Martin Auer and published by Springer. This book was released on 2018-02-01 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi — Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.

Measuring Market Risk with Value at Risk

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Publisher : John Wiley & Sons
ISBN 13 : 9780471393139
Total Pages : 324 pages
Book Rating : 4.3/5 (931 download)

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Book Synopsis Measuring Market Risk with Value at Risk by : Pietro Penza

Download or read book Measuring Market Risk with Value at Risk written by Pietro Penza and published by John Wiley & Sons. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

Probabilistic Constrained Optimization

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 1475731507
Total Pages : 319 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Probabilistic Constrained Optimization by : Stanislav Uryasev

Download or read book Probabilistic Constrained Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.

Risk, Uncertainty and Profit

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Publisher : Cosimo, Inc.
ISBN 13 : 1602060053
Total Pages : 401 pages
Book Rating : 4.6/5 (2 download)

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Book Synopsis Risk, Uncertainty and Profit by : Frank H. Knight

Download or read book Risk, Uncertainty and Profit written by Frank H. Knight and published by Cosimo, Inc.. This book was released on 2006-11-01 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timeless classic of economic theory that remains fascinating and pertinent today, this is Frank Knight's famous explanation of why perfect competition cannot eliminate profits, the important differences between "risk" and "uncertainty," and the vital role of the entrepreneur in profitmaking. Based on Knight's PhD dissertation, this 1921 work, balancing theory with fact to come to stunning insights, is a distinct pleasure to read. FRANK H. KNIGHT (1885-1972) is considered by some the greatest American scholar of economics of the 20th century. An economics professor at the University of Chicago from 1927 until 1955, he was one of the founders of the Chicago school of economics, which influenced Milton Friedman and George Stigler.

International Convergence of Capital Measurement and Capital Standards

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Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: