Value at Risk, 3rd Ed., Part V - Extensions of Risk Management Systems
This chapter comes from Value at Risk, 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.
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1-year horizon add value approach assess assume average Bankers Trust Basel Basel Accord Basel II basic indicator approach bond business lines business risk capital charges compute contracts corporate costs counterparty create credit derivatives credit exposure credit risk currency swap debt default correlations default rates defined derivatives diversification effects economic capital example expected credit loss expected loss exposure profile ExxonMobil financial institutions financial risk firm firm’s firmwide risks hedging increases industry instance integrated risk management internal kurtosis legal risk loans loss distribution loss severity losses owing market and credit market risk market value maturity measure million netting agreements operational losses operational risk management oprisk percent confidence level percent of notional portfolio credit-risk models probability of default quantile recovery rate regulatory Reputational risk risk weights simulation sources of risk Table tier 1 capital trading types of risk typical unexpected variables volatility worst