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价值风险 Value at Risk 3E

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价值风险 Value at Risk 3E

最 低 价：￥204.60

定 价：￥259.00

作 者：PhilippeJorion　著 著

出 版 社：Oversea Publishing House

出版时间：2007-1-1

I S B N：9780071260473

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  • VALUE AT RISK
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    204.60元
  • 价值风险 Value at Risk 3E
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    • 价格
    233.10元
  • 价值风险 Value at Risk 3E
  • 送货上门
    • 价格
    246.10元

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    内容简介
    Thoroughly revised and updated with new information and criticaI analysis。Philippe Iorion’S classic Value at Risk remains the industry leader in risk manage·ment。The third edition fcaturcs an increased emphasis on operational risk。coverage of new risk management techniques and the recently finalized Basel Accords，applications of VAR to risk budgeting and integrated risk management，new end。oGchapter exercises，and much more。
    作者简介：
    　　Philippe Jorion is Chancellor’S Professor of Finance at the University of California，Irvine。He has also taught at UC—Berkeley，Columbia University,Northwestern University，the University of Chicago，and the University of British Columbia。He received his M。B。A。and Ph。D。from the University of Chicago and a master’S degree in engineering from the Universit6 Libre de Bruxelles。
    Dr。Jorion has written a number of books，including Big Bets Gone Bad：Derivatives and Bankruptcy in Orange County（Academic Press，1995）。the first account of the largest municipal failure in U。S。history，F/nanciaf Risk Management：Domestic and Internationa/Dimensions fcoauthored with S。Khoury，Blackwell，l995），and the Financia/Risk Manager Handbook（Wiley，2005），now in its third edition，which provides the core body of knowledge for the FRM examination administered by the GlobaI Association of Risk Professionals。
    In addition。Dr.Jorion has written more than 80 publications directed to academics and practitioners Off the topics of risk management and international finance。His work has received wide recognition，including the Smith Breeden Prize in 1999。which iS awarded tO the best papers in the Journa/of Finance。and the Graham and Scroll Award in 2003，for best papers in the Financial Analysts Journal。
    Dr。Jorion iS a frequent speaker at academic and professional confeFences。He has served as a consultant to various institutions。He iS on the editorial board of a number of finance iournals and was editor-in-chief of the Journal of Risk。

    作者简介

    目录
    Preface
    Acknowledgments
    Part Ⅰ MOTIVATION
    1 The Need for Risk Management
    2 Lessons from Financial Disasters
    3 VAR—Based Regulatory Capital
    Part Ⅱ BUILDlNG BLOCKS
    Tools for Measuring Risk
    Computing VAR
    Backtesting VAR
    Portfolio Risk：Analytical Methods
    Multivariate Models
    Forecasting Risk and Correlations
    Part Ⅲ VALUE.AT.RISK SYSTEMS
    10 VAR Methods
    11 VAR Mapping
    12 Monte Carlo Methods
    13 Liquidity Risk
    14 Stress Testing
    Part Ⅳ APPLICATIONS OF RlSK MANAGEMENT SYSTEMS
    15 Using VAR to Measure and Control Risk
    16 Using VAR for Active Risk Management
    17 VAR and Risk Budgeting in Investment Management
    Part Ⅴ EXTENSIoNS OF RISK MANAGEMENT SYSTEMS
    18 Credit Risk Management
    19 Operational Risk Management
    20 Integrated Risk Management
    Part Ⅵ THE RISK MANAGEMENT PROFESSION
    21 Risk Management Guidelines and Pitfalls
    22 Conclusions
    References
    Index

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