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 morethan 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.. . . . . . . . . . . . . . . . . . . .
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