|aValue at risk :|bthe new benchmark for managing financial risk /|cPhilippe Jorion.
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|a3rd ed.
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|aNew York :|bMcGraw-Hill,|cc2007.
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|axvii, 602 p. :|bill. ;|c24 cm.
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|aIncludes bibliographical references (p. 573-584) and index.
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|aMotivation -- 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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