Value at risk : the new benchmark for managing financial risk

Value at risk the new benchmark for managing financial risk

Detalles Bibliográficos
Autor principal: Jorion, Philippe, 1955- (-)
Formato: Libro
Idioma:Inglés
Publicado: New York : McGraw-Hill c2007.
Edición:3rd ed
Materias:
Gestión del riesgo
Ver en Universidad de Navarra:https://unika.unav.edu/discovery/fulldisplay?docid=alma991001896919708016&context=L&vid=34UNAV_INST:VU1&search_scope=34UNAV_TODO&tab=34UNAV_TODO&lang=es
Tabla de Contenidos:
  • 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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