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Value at risk : the new benchmark for managing financial risk 3rd ed (47회 대출)

자료유형

단행본

개인저자

Jorion, Philippe, 1955-.

서명 / 저자사항

Value at risk : the new benchmark for managing financial risk / Philippe Jorion.

판사항

3rd ed.

발행사항

New York : McGraw-Hill, c2007.

형태사항

xvii, 602 p. : ill. ; 24 cm.

ISBN

0071464956 (hardcover : alk. paper) 9780071464956

내용주기

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.

서지주기

Includes bibliographical references (p. 573-584) and index.

일반주제명

Financial futures. Risk management.

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010		▼a 2006015513
020		▼a 0071464956 (hardcover : alk. paper)
020		▼a 9780071464956
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040		▼a DLC ▼c DLC ▼d BAKER ▼d C#P ▼d DLC ▼d 211009
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050	0 0	▼a HG6024.3 ▼b .J683 2007
082	0 0	▼a 658.15/5 ▼2 23
084		▼a 658.155 ▼2 DDCK
090		▼a 658.155 ▼b J82v3
100	1	▼a Jorion, Philippe, ▼d 1955-.
245	1 0	▼a Value at risk : ▼b the new benchmark for managing financial risk / ▼c Philippe Jorion.
250		▼a 3rd ed.
260		▼a New York : ▼b McGraw-Hill, ▼c c2007.
300		▼a xvii, 602 p. : ▼b ill. ; ▼c 24 cm.
504		▼a Includes bibliographical references (p. 573-584) and index.
505	0 0	▼t Motivation -- ▼t The need for risk management -- ▼t Lessons from financial disasters -- ▼t VAR-based regulatory capital -- ▼t Building blocks -- ▼t Sources of financial risk -- ▼t Computing VAR -- ▼t Backtesting VAR -- ▼t Portfolio risk: analytical methods -- ▼t Multivariate models -- ▼t Forecasting risks and correlations -- ▼t Value-at-risk systems -- ▼t VAR methods -- ▼t VAR mapping -- ▼t Monte Carlo methods -- ▼t Liquidity risk -- ▼t Stress testing -- ▼t Applications of risk management systems -- ▼t Using VAR to measure and control risk -- ▼t Using VAR for active risk management -- ▼t VAR and risk budgeting in investment management -- ▼t Extensions of risk management systems -- ▼t Credit risk management -- ▼t Operational risk management -- ▼t Integrated risk management -- ▼t The risk management profession -- ▼t Risk management: guidelines and pitfalls -- ▼t Conclusions.
650	0	▼a Financial futures.
650	0	▼a Risk management.
740	0 2	▼a Need for risk management.
740	0 2	▼a Risk management profession.
945		▼a KINS

소장정보

No.	소장처	청구기호	등록번호	도서상태	반납예정일	예약	서비스
No. 1	소장처 중앙도서관/서고7층/	청구기호 658.155 J82v3	등록번호 111713517 (2회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M
No. 2	소장처 중앙도서관/교육보존A/6	청구기호 658.155 J82v3	등록번호 111410776 (20회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M
No. 3	소장처 과학도서관/Sci-Info(2층서고)/	청구기호 658.155 J82v3	등록번호 121164000 (23회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M
No. 4	소장처 세종학술정보원/사회과학실(4층)/	청구기호 658.155 J82v3	등록번호 151261490 (2회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M ?

No.	소장처	청구기호	등록번호	도서상태	반납예정일	예약	서비스
No. 1	소장처 중앙도서관/서고7층/	청구기호 658.155 J82v3	등록번호 111713517 (2회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M
No. 2	소장처 중앙도서관/교육보존A/6	청구기호 658.155 J82v3	등록번호 111410776 (20회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M

No.	소장처	청구기호	등록번호	도서상태	반납예정일	예약	서비스
No. 1	소장처 과학도서관/Sci-Info(2층서고)/	청구기호 658.155 J82v3	등록번호 121164000 (23회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M

No.	소장처	청구기호	등록번호	도서상태	반납예정일	예약	서비스
No. 1	소장처 세종학술정보원/사회과학실(4층)/	청구기호 658.155 J82v3	등록번호 151261490 (2회 대출)	도서상태 대출가능	반납예정일	예약	서비스 B M ?

컨텐츠정보

책소개

Learn how to navigate your way in a dynamic risk environment

Value at Risk includes an increased emphasis on operational risk, discussion of new risk-management applications, recent changes in definitions of industry standards, and more.

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.

정보제공 :

펼치기

저자소개

Philippe Jorion(지은이)

<VAR:시장위험관리>

정보제공 :

펼치기

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

정보제공 :

펼치기

Value at risk : the new benchmark for managing financial risk 3rd ed (47회 대출)

소장정보

컨텐츠정보

책소개

저자소개

Philippe Jorion(지은이)

목차

청구기호 브라우징

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