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.
Biographical note
Philippe Jorion is a professor of finance at the University of California,
Irvine. Editor in chief of the Journal of Risk, Jorion is a consultant to institutions
including PIMCO, the World Bank, AIMR, the Federal Reserve, and the United Nations.
Hardback
602 pages