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Value at risk : the new benchmark for managing financial risk / Philippe Jorion.

By: Material type: TextTextLanguage: English Publication details: New York : McGraw-Hill, 2001.Edition: Second editionDescription: xxxi, 544 páginas : tablas, gráficas ; 23 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 0071355022
Subject(s): DDC classification:
  • 658.15  J67v  21.
Other classification:
  • G13
Contents:
Part one: Motivation: Chapter 1. Need for risk management ; Chapter 2: Lessons from financial disasters ; Chapter 3: Regulatory capital standards with VAR – Part two 2: Building blocks: Chapter 4: Measuring financial risk ; Chapter 5: Computing value at risk ; Chapter 6: Backtesting VAR models ; Chapter 7: Portfolio risk: analytical methods ; Chapter 8: Forecasting risks and correlations – Part three: Value-at risk systems: Chapter 9: VAR methods ; Chapter 10: Stress testing ; Chapter 11: Implementing delta-normal VAR ; Chapter 12: Simulation methods ; Chapter 13: Credit risk ; Chapter 14: Liquidity risk -- Part four 4: Applications of risk-management systems: Chapter 15: Using VAR to measure and control risk ; Chapter 16: Using VAR for active risk management ; Chapter 17: VAR in investment management ; Chapter 18: Technology of risk ; Chapter 19: Operational risk management ; Chapter 20: Integrated risk management -- Part five: The risk-management profession: Chapter 21: Risk management: guidelines and Pitfalls ; Chapter 22: Conclusions.
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Holdings
Item type Home library Call number Status Notes Date due Barcode Item holds
LIBRO FISICO Biblioteca Principal 658.15 J67v (Browse shelf(Opens below)) Not For Loan Mantener en colección 29004016843152
Total holds: 0

Incluye referencias bibliográficas (páginas 521-530) e índice.

Part one: Motivation: Chapter 1. Need for risk management ; Chapter 2: Lessons from financial disasters ; Chapter 3: Regulatory capital standards with VAR – Part two 2: Building blocks: Chapter 4: Measuring financial risk ; Chapter 5: Computing value at risk ; Chapter 6: Backtesting VAR models ; Chapter 7: Portfolio risk: analytical methods ; Chapter 8: Forecasting risks and correlations – Part three: Value-at risk systems: Chapter 9: VAR methods ; Chapter 10: Stress testing ; Chapter 11: Implementing delta-normal VAR ; Chapter 12: Simulation methods ; Chapter 13: Credit risk ; Chapter 14: Liquidity risk -- Part four 4: Applications of risk-management systems: Chapter 15: Using VAR to measure and control risk ; Chapter 16: Using VAR for active risk management ; Chapter 17: VAR in investment management ; Chapter 18: Technology of risk ; Chapter 19: Operational risk management ; Chapter 20: Integrated risk management -- Part five: The risk-management profession: Chapter 21: Risk management: guidelines and Pitfalls ; Chapter 22: Conclusions.

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