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Value at risk : the new benchmark for managing financial risk
- 作者： Jorion, Philippe, 1955-
- 出版： New York : McGraw-Hill
- 版本：3rd ed.
- 主題： Financial futures , Risk management
- ISBN： 0071464956 (hbk.): US$85.00 、 9780071464956
- 資料類型: 圖書
- 內容註: Includes bibliographical references (p. 573-584) and index. 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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讀者標籤：
- 系統號： 005005507 | 機讀編目格式
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