Summary |
Since 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 For financial risk managers attempting to navigate this tumultuous, rapidly changing environment, this timely update is a necessity.
In this extensively revised edition, Philippe Jorion provides financial professionals with the most current information they need 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 components, and copulas
• Extensive coverage of the recently finalized Base II capital adequacy rules for commercial banks, integrated throughout the book
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