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To accommodate sweeping global economic changes, the risk management field has evolved substantially since the first edition of Value at Risk, making this revised edition a must. Updates include a new chapter on liquidity risk, information on the latest risk instruments and the expanded derivatives market, recent developments in Monte Carlo methods, and more. Value at Risk, Second Edition, will help professional risk managers understand, and operate within, today’s dynamic new risk environment.
- Sales Rank: #2519304 in Books
- Published on: 2000-08-17
- Original language: English
- Number of items: 1
- Dimensions: 9.00" h x 1.99" w x 6.00" l, 1.10 pounds
- Binding: Hardcover
- 544 pages
From the Back Cover
[BACK COVER] Value at Risk The Benchmark for Managing Financial Risk Second Edition Philippe Jorion [HEADLINE] Extensively Revised and Updated—Philippe Jorion’s Comprehensive Reference on Financial Risk Management [SUBHEAD] Praise for Value at Risk, Second Edition: "This book has become an industry standard for value at risk." —Leslie Rahl, President Capital Markets Risk Advisors "Professor Jorion has succeeded in producing a great second edition. The book excels in explaining a complex subject with amazing clarity and depth. I recommend it highly to the novice as well as the practitioner and regulator of financial risk management. The theory is presented in plain language and brilliantly interspersed with examples of how the craft evolved—as well as accidents and what can be learned from them. A ‘must read.’" —Till Guldimann, Senior Vice President SunGard Trading and Risk Systems "Many books on VaR can be intimidating. Philippe Jorion offers a pragmatic and readable guide that covers the basics as well as recent best practice. A good primer, but also a good review of the state of the art." —Leo de Bever, Vice-President, Research and Economics Ontario Teachers’ Pension Plan Board In 1996, the first edition of Philippe Jorion’s Value at Risk gave financial professionals worldwide the first comprehensive description of value at risk (VAR). Now, to keep pace with sweeping changes and advances in the field of risk management, Jorion updates this state-of-the-art reference with new information on: • Latest risk management methods including backtesting, liquidity risk, and stress-testing • Techniques for understanding—and working within—today’s new environment of integrated risk management, including market, credit, and operational risk • Strategic application of RAROC methods and VAR investment management systems [FLAP COPY] Value at Risk The Benchmark for Managing Financial Risk Second Edition Philippe Jorion Even as risk management assumes an increasingly central role in financial institutions, the actual understanding of financial risk continues to be problematic. Financial disasters still occur—witness Asia’s 1997 market turmoil, Russia’s 1998 default, and the near-collapse of Long Term Capital Management—as institutions either fail to see or, in some cases, completely ignore easily recognizable hallmarks of impending financial disaster. For financial risk managers attempting to navigate this tumultuous, rapidly changing environment, the updated, expanded, and substantially revised Value at Risk, second edition, will clarify the latest advances in risk management. The book’s extensive restructuring, and broader scope, is reflected in its new subtitle. Whereas the first edition was described as "the new benchmark for controlling market risk," Value at Risk, second edition is now identified as "the benchmark for managing financial risk." With more than 200 pages of new material, the updated edition of this international bestseller (translated into Chinese, Hungarian, Japanese, Korean, Polish, Portuguese, and Spanish) provides financial professionals with the latest information they need to understand and implement value at risk—and manage newer dimensions of financial risk. Initially confined to measuring market risk, VAR is now being used to actively control financial risk well beyond derivatives. Professionals can depend on this substantially new edition of Value at Risk for comprehensive, authoritative counsel and assistance in: • Measuring aggregate risk, and communicating a corporation’s financial risks to both senior management and shareholders • Setting position limits, and creating a common denominator with which to compare risky activities in diverse markets • Allocating capital within an institution—by adjusting returns for risk and implementing risk-adjusted performance measures (RAPM). As we move into the 21st century, the value at risk approach will continue to improve worldwide standards for managing numerous types of financial risk. Traders and financial risk managers; financial institution executives and supervisors; regulators; researchers ; and professors, graduate students, and others who need to know more about VAR, its application, and its results will get access to updated information and practices—plus valuable data and guidance—in Value at Risk, second edition. About the Author Philippe Jorion, Ph.D., is Professor of Finance at the University of California at Irvine. Editor-in-chief of Journal of Risk and author of more than 50 professional articles on risk management and international finance, he also wrote Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County and cowrote Financial Risk Management. Dr. Jorion is a frequent speaker at academic and professional conferences, and has also served as a consultant to various institutions.
About the Author
Philippe Jorion (Irvine, CA) is a professor of finance at the University of California at Irvine. Among his previous books is Financial Risk Management: Domestic and International Dimensions.
Most helpful customer reviews
0 of 0 people found the following review helpful.
Five Stars
By No Name
received in good condition.
0 of 0 people found the following review helpful.
Five Stars
By Kattamuri S. Sarma
Excellent bookd
25 of 27 people found the following review helpful.
Among the best for an basic, broad introduction
By David R. Harper
Jorion's Value at Risk (VaR) will almost surely be assigned in the 2009 Financial Risk Manager (FRM) curriculum. Regardless, it is recommended as an excellent introduction to VaR. There is so much confusion about VaR. For example, some continue to think VaR assumes normality. But, simulated VaR (historical or Monte Carlo) methods require no distributional assumption at all; and parametric VaR does not need a normal. Normal is popular for two reasons: (1) it's a fine place to start learning and (2) VaR was born in short-term trading (market risk), arguably the only place is still has a place! Here [...] is a great no-nonsense overview of the three basic VaR approaches.
Jorion's book, like all the others, will need to be updated for the credit crunch. Chapters on stress testing and liquidity risk now seem much too brief (although his review of liquidity risk is among the best you could have found before the crisis). The strength of this book is its accessibility; math is employed but most is within gentle reach.
For FRM candidates, please note that two of the chapters are deceptively brief but they requires significant time to digest: you will need to read Chapter 7 on portfolio analytics and Chapter 11 on VaR mapping more than once. I promise you 7 and 11 will require lots of your time!
Also, another thing about Jorion that I've learned over the years, as I've taught risk: he is careful and precise with language (without pedantry), which makes him among the best authors in the curriculum. My only criticism of the book is its topical ambition: in trying to cover too many topics, he only flirts with several to insufficient impact.
My notes:
Chapters 1, 2, 3 on the motivation for VaR will need to be updated (e.g., Basel II)
Chapters 4 and 5 setup the introduction to generic VaR approaches; i.e., simulation backward (historical), forward (Monte Carlo), or parametric. But the EVT intro is insufficient.
Chapter 6 (backtesting) is recommended because it explains the Basel IMA backtesting in the context of Type I/Type II error trade-off
Chapter 7 is typically assigned in the FRM. It needs more than one read, due to high density, but it's very sharp. Explains incremental VaR, marginal VaR, component VaR and their relationships (and to portfolio beta). Pays dividends if you spend effort.
Chapter 8 is too ambitious (multivariate models). It doesn't succeed in explaining PCA. But instructive example on risk factors in bond portfolios.
Chapter 9 is about GARCH(1,1) and EWMA. John Hull's chapter is on this is better.
Chapter 10 gives pros/cons on the three VaR approaches. Fine, but will needs to be updated.
Chapter 11 is about VaR mapping. It has typically been assigned in FRM. Time consuming but ultimately does introduce mapping.
Chapter 12 on Monte Carlo doesn't succeed. Ends up being a checklist.
Chapter 13 on liquidity risk is excellent, in my option (e.g., plain discussion of endogenous/exogenous factor treatment), given that it used to be hard to find coverage of this topic. GARP should have assigned this chapter. Liquidity risk, of course, is getting tremendous attention. But this remains a great intro.
Chapter 14 on is a high-level overview of stress testing. Needs more detail and an update.
Chapter 15 (Using VaR to Measure and control risk) merely introduces implementation; will need updating.
Chapter 16 (Active risk management) is too ambitious. Ends up merely flirting with economic capital (EC) and EVA.
Chapter 17 (risk budgeting in investment management) has been assigned in the FRM. It reviews a method for calculating surplus at risk (SaR); i.e., VaR for a pension fund.
Chapter 18 (credit risk) has not historically been assigned to FRM, but this is recommended for the accessible introduction to counterparty exposure (e.g., diffusion and amortization effects).
Chapter 19 is also a helpful introduction to operational risk, where the Basel OpRisk discussion remains relevant.
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