Summaries and Customer Reviews are supplied by Amazon.com
Summary:
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:
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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.
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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.
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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.
This is a good book for risk/quantitative analyst in market risk. Lots of information and reference for risk management.
New, Revised , Updated and Expanded Third Edition
Customer Rating:
It is an old axiom that investments with higher risk should pay a higher return. But how do you measure that risk to know what an appropriate return would be? Value at Risk (VAR) is a statistical method used to summarize the worst loss over a target horizon that will not be exceeded with a given level of confidence.
Over the past 15 or 20 years since VAR began to be used the financial world has changed. This includes changes in the kinds of risk being assumed, the new risk-management techniques have been developed, and new laws have come into effect, the expanded use of VAR in other areas beyond the financial areas, among other changes. These changes have been reflected in this new, third edition of this classic volume on the subject. It is a new book (published October 19, 2006), extensively revised and expanded from about 540 pages to 600.
This book is rapidly becoming (if it hasn't already become) the standard by which other books are compared. It is used by the Global Association of Risk Professionals as the main text for it's Financial Risk Manager examination.
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