Motivation
The need for risk management
Lessons from financial disasters
VAR-based regulatory capital
Building blocks
Sources of financial risk
Computing VAR
Backtesting VAR
Portfolio risk: analytical methods
Multivariate models
Forecasting risks and correlations
Value-at-risk systems
VAR methods
VAR mapping
Monte Carlo methods
Liquidity risk
Stress testing
Applications of risk management systems
Using VAR to measure and control risk
Using VAR for active risk management
VAR and risk budgeting in investment management
Extensions of risk management systems
Credit risk management
Operational risk management
Integrated risk management
The risk management profession
Risk management: guidelines and pitfalls
Conclusions.
OBNB doesn't sell books, but you may be able to find a copy at one of these websites:
Value at risk : the new benchmark for managing financial risk by Philippe Jorion. ISBN 9780071464956. Published by McGraw-Hill in 2007. Publication and catalogue information, links to buy online and reader comments.
