Value at risk : the new benchmark for managing financial risk [electronic resource]

• 作者： Jorion, Philippe, 1955-
• 出版： New York : McGraw-Hill
• 版本：3rd ed.
• 主題： Financial futures , Risk management , Electronic books.
• ISBN： 0071464956 (hbk.) 、 9780071464956 (hbk.) 、 9780071731584
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: 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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