3rd ed. — McGraw-Hill, 2006. — 594 p. — ISBN: 0071464956, 9780071464956Since 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 bookA 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. 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.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.
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John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
Wiley, 2013. — 579 p. — 2nd ed. — ISBN: 111817545X, 9781118175453
A top risk management practitioner addresses the essential aspects of modern financial risk management
In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques...
Wiley, 2005. — 412 p. — 2nd ed. — ISBN: 0470013036, 9780470013038
Fully revised and restructured, "Measuring Market Risk, Second Edition" includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples...
Wiley, 2015. — 742 p. — 4th ed. — (Wiley Finance). — ISBN: 1118955943, 9781118955949
The most complete, up to date guide to risk management in finance
Risk Management and Financial Institutions explains all aspects of financial risk and financial institution regulation, helping readers better understand the financial markets and potential dangers. This new fourth edition has...
8 edition. — Prentice Hall, 2012. — 276 c. — ISBN-10: 0132164965, ISBN-13: 978-0132164962.
Ответы к задачам каждой главы учебник а - John C. Hull. "Options, Futures, and Other Derivatives" (8 edition).
A must-have for any student reading the Options, futures and derivatives 8th edition. It not only has numerical answers but also explains part of the theory in the form of...
3 edition. — Wiley, 2012 — 633 р. — ISBN-10: 0470891696 / ISBN-13: 978-0470891698.
Fixed Income Securities: Tools for Today's Markets, Third Edition, was revised, among other reasons, to discuss these and other issues that have assumed greater importance as a result of the financial crisis.
From the Inside Flap
Both working professionals and newcomers to the broad, complex,...