Value At Risk 3rd Ed

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Value at Risk, 3rd Ed.

Philippe Jorion
Value at Risk 3rd Ed Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 600 pages
File Size : 53,8 Mb
Release : 2006-11-09
Category : Business & Economics
ISBN : 9780071736923

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Value at Risk, 3rd Ed. by Philippe Jorion Pdf

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

Philippe Jorion
Value at Risk 3rd Ed Part III Value at Risk Systems Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 135 pages
File Size : 40,5 Mb
Release : 2006-10-19
Category : Business & Economics
ISBN : 9780071731607

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Value at Risk, 3rd Ed., Part III - Value-at-Risk Systems by Philippe Jorion Pdf

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 3E

Philippe Jorion
Value At Risk 3E Book PDF

Author : Philippe Jorion
Publisher : Tata McGraw-Hill Education
Page : 0 pages
File Size : 43,6 Mb
Release : 2009-12
Category : Electronic
ISBN : 0070700427

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Value At Risk 3E by Philippe Jorion Pdf

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

Philippe Jorion
Value at Risk Book PDF

Author : Philippe Jorion
Publisher : Unknown
Page : 602 pages
File Size : 50,6 Mb
Release : 2007
Category : Financial futures
ISBN : 0071260471

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Value at Risk by Philippe Jorion Pdf

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, 3rd Ed., Part II - Building Blocks

Philippe Jorion
Value at Risk 3rd Ed Part II Building Blocks Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 176 pages
File Size : 50,8 Mb
Release : 2006-10-19
Category : Business & Economics
ISBN : 9780071731591

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

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

Philippe Jorion
Value at Risk 3rd Ed Part V Extensions of Risk Management Systems Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 87 pages
File Size : 53,7 Mb
Release : 2006-10-19
Category : Business & Economics
ISBN : 9780071731621

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

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

Philippe Jorion
Value at Risk 3rd Ed Part VI The Risk Management Profession Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 42 pages
File Size : 41,6 Mb
Release : 2006-10-19
Category : Business & Economics
ISBN : 9780071731638

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

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 I - Motivation

Philippe Jorion
Value at Risk 3rd Ed Part I Motivation Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 76 pages
File Size : 42,5 Mb
Release : 2006-10-19
Category : Business & Economics
ISBN : 9780071731584

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Value at Risk, 3rd Ed., Part I - Motivation by Philippe Jorion Pdf

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.

An Introduction to Value-at-Risk

Moorad Choudhry
An Introduction to Value at Risk Book PDF

Author : Moorad Choudhry
Publisher : John Wiley & Sons
Page : 194 pages
File Size : 45,7 Mb
Release : 2007-01-11
Category : Business & Economics
ISBN : 9780470033777

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An Introduction to Value-at-Risk by Moorad Choudhry Pdf

The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth edition of Professor Moorad Choudhry’s benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole. Topics covered include: Defining value-at-risk Variance-covariance methodology Monte Carlo simulation Portfolio VaR Credit risk and credit VaR Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. Related issues such as statistics, volatility and correlation are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to financial market risk management and value-at-risk.

Hands-On Value-at-Risk and Expected Shortfall

Martin Auer
Hands On Value at Risk and Expected Shortfall Book PDF

Author : Martin Auer
Publisher : Springer
Page : 169 pages
File Size : 54,5 Mb
Release : 2018-02-01
Category : Business & Economics
ISBN : 9783319723204

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Hands-On Value-at-Risk and Expected Shortfall by Martin Auer Pdf

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.

Risk Management and Financial Institutions

John C. Hull
Risk Management and Financial Institutions Book PDF

Author : John C. Hull
Publisher : John Wiley & Sons
Page : 832 pages
File Size : 53,8 Mb
Release : 2018-04-10
Category : Business & Economics
ISBN : 9781119448112

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Risk Management and Financial Institutions by John C. Hull Pdf

The most complete, up-to-date guide to risk management in finance Risk Management and Financial Institutions, Fifth Edition explains all aspects of financial risk and financial institution regulation, helping you better understand the financial markets—and their potential dangers. Inside, you’ll learn the different types of risk, how and where they appear in different types of institutions, and how the regulatory structure of each institution affects risk management practices. Comprehensive ancillary materials include software, practice questions, and all necessary teaching supplements, facilitating more complete understanding and providing an ultimate learning resource. All financial professionals need to understand and quantify the risks associated with their decisions. This book provides a complete guide to risk management with the most up to date information. • Understand how risk affects different types of financial institutions • Learn the different types of risk and how they are managed • Study the most current regulatory issues that deal with risk • Get the help you need, whether you’re a student or a professional Risk management has become increasingly important in recent years and a deep understanding is essential for anyone working in the finance industry; today, risk management is part of everyone's job. For complete information and comprehensive coverage of the latest industry issues and practices, Risk Management and Financial Institutions, Fifth Edition is an informative, authoritative guide.

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

Philippe Jorion
Value at Risk 3rd Ed Part IV Applications of Risk Management Systems Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 77 pages
File Size : 47,8 Mb
Release : 2006-10-19
Category : Business & Economics
ISBN : 9780071731614

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

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

Philip Best
Implementing Value at Risk Book PDF

Author : Philip Best
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 55,5 Mb
Release : 2000-11-21
Category : Business & Economics
ISBN : 9780470865965

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Implementing Value at Risk by Philip Best Pdf

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

Elements of Financial Risk Management

Peter Christoffersen
Elements of Financial Risk Management Book PDF

Author : Peter Christoffersen
Publisher : Academic Press
Page : 346 pages
File Size : 41,8 Mb
Release : 2011-11-22
Category : Business & Economics
ISBN : 9780123744487

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Elements of Financial Risk Management by Peter Christoffersen Pdf

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises

Mastering Value at Risk

Cormac Butler
Mastering Value at Risk Book PDF

Author : Cormac Butler
Publisher : Financial Times/Prentice Hall
Page : 264 pages
File Size : 53,9 Mb
Release : 1999
Category : Business & Economics
ISBN : 0273637525

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Mastering Value at Risk by Cormac Butler Pdf

Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.