Value at Risk: The Benchmark for Controlling Market Risk

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9780071355025: Value at Risk: The Benchmark for Controlling Market Risk

To accommodate sweeping global economic changes, the risk management field has evolved substantially since the first edition of "Value at Risk", making this revised edition a must. Updates include a new chapter on liquidity risk, information on the latest risk instruments and the expanded derivatives market, recent developments in Monte Carlo methods, and more. "Value at Risk, Second Edition", will help professional risk managers understand, and operate within, today's dynamic new risk environment.

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From the Back Cover:

[BACK COVER]
Value at Risk
The Benchmark for Managing Financial Risk
Second Edition
Philippe Jorion
[HEADLINE] Extensively Revised and Updated'Philippe Jorion's Comprehensive Reference on Financial Risk Management
[SUBHEAD] Praise for Value at Risk, Second Edition:
"This book has become an industry standard for value at risk."

'Leslie Rahl, President

Capital Markets Risk Advisors
"Professor Jorion has succeeded in producing a great second edition. The book excels in explaining a complex subject with amazing clarity and depth. I recommEND it highly to the novice as well as the practitioner and regulator of financial risk management. The theory is presented in plain language and brilliantly interspersed with examples of how the craft evolved'as well as accidents and what can be learned from them. A `must read.'"

'Till Guldimann, Senior Vice President

SunGard Trading and Risk Systems
"Many books on VaR can be intimidating. Philippe Jorion offers a pragmatic and readable guide that covers the basics as well as recent best practice. A good primer, but also a good review of the state of the art."

'Leo de Bever, Vice-President, Research and Economics

Ontario Teachers' Pension Plan Board
In 1996, the first edition of Philippe Jorion's Value at Risk gave financial professionals worldwide the first comprehensive description of value at risk (VAR). Now, to keep pace with sweeping changes and advances in the field of risk management, Jorion updates this state-of-the-art reference with new information on:
' Latest risk management methods including backtesting, liquidity risk, and stress-testing
' Techniques for understanding'and working within'today's new environment of integrated risk management, including market, credit, and operational risk
' Strategic application of RAROC methods and VAR investment management systems
[FLAP COPY]
Value at Risk
The Benchmark for Managing Financial Risk
Second Edition
Philippe Jorion

Even as risk management assumes an increasingly central role in financial institutions, the actual understanding of financial risk continues to be problematic. Financial disasters still occur'witness Asia's 1997 market turmoil, Russia's 1998 default, and the near-collapse of Long Term Capital Management'as institutions either fail to see or, in some cases, completely ignore easily recognizable hallmarks of impENDing financial disaster. For financial risk managers attempting to navigate this tumultuous, rapidly changing environment, the updated, expanded, and substantially revised Value at Risk, second edition, will clarify the latest advances in risk management.

The book's extensive restructuring, and broader scope, is reflected in its new subtitle. Whereas the first edition was described as "the new benchmark for controlling market risk," Value at Risk, second edition is now identified as "the benchmark for managing financial risk." With more than 200 pages of new material, the updated edition of this international bestseller (translated into Chinese, Hungarian, Japanese, Korean, Polish, Portuguese, and Spanish) provides financial professionals with the latest information they need to understand and implement value at risk'and manage newer dimensions of financial risk.

Initially confined to measuring market risk, VAR is now being used to actively control financial risk well beyond derivatives. Professionals can depEND on this substantially new edition of Value at Risk for comprehensive, authoritative counsel and assistance in:
' Measuring aggregate risk, and communicating a corporation's financial risks to both senior management and shareholders
' Setting position limits, and creating a common denominator with which to compare risky activities in diverse markets
' Allocating capital within an institution'by adjusting returns for risk and implementing risk-adjusted performance measures (RAPM).

As we move into the 21st century, the value at risk approach will continue to improve worldwide standards for managing numerous types of financial risk. Traders and financial risk managers; financial institution executives and supervisors; regulators; researchers ; and professors, graduate students, and others who need to know more about VAR, its application, and its results will get access to updated information and practices'plus valuable data and guidance'in Value at Risk, second edition.
About the Author
Philippe Jorion, Ph.D., is Professor of Finance at the University of California at Irvine. Editor-in-chief of Journal of Risk and author of more than 50 professional articles on risk management and international finance, he also wrote Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County and cowrote Financial Risk Management. Dr. Jorion is a frequent speaker at academic and professional conferences, and has also served as a consultant to various institutions.

About the Author:

Philippe Jorion (Irvine, CA) is a professor of finance at the University of California at Irvine. Among his previous books is Financial Risk Management: Domestic and International Dimensions.

"About this title" may belong to another edition of this title.

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