Value at Risk : The New Benchmark for Managing Financial Risk, 3rd Edition

作者：PhilippeJorion

出版社：McGraw-Hill

副标题：TheNewBenchmarkforManagingFinancialRisk,3rdEdition

出版年：2006-10-19

页数：600

定价：USD85.00

装帧：Hardcover

ISBN：9780071464956

内容简介
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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.

作者简介
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菲利普·乔瑞（Philippe Jorion），芝加哥大学MBA、博士，现为加州大学欧文分校金融学教授。主要研究领域为风险管理、国际金融、全球资产配置和固定收益证券市场。乔瑞博士著作颇丰，包括率先介绍美国最大政府机构倒闭案的专著《巨赌之危：衍生工具与橘郡破产案》、《金融风险管理：国内及国际研究》，以及FRM考试指定教材《金融风险管理师手册》。

评论 ······

挺系统全面的，不错的尝试，所有方法都不是完美的。

很全面的用来入门脑补的manual

人类往往高估短期影响而低估长期价值。就算是VaR这么一个简单的工具，也需要5年才能看出优劣点。#新冠肺也是一样#

经典，不过和现有知识体系overlapping，收获不大。

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