Value at Risk: The Benchmark for Controlling Market Risk市场风险的基准 下载 fb2 pdf rb kindle 115盘 极速 azw3

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。

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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从事风险管理的经理人，必须充分了解金融市场的多样性，了解交易过程的错综复杂，了解金融和统计模型。风险管理需要将固定收益市场、货币市场、股票市场和商品市场作为一个整体来考虑。而每一市场的背后，金融产品又必须按照其基本构成单元分解开来，再从衡量风险的角度将其重新组合。毋庸置疑，这也是为什么风险管理也被称作“粒子金融理论”。

生活的内容是管理风险，而不是消除风险。

公司一般面临三种风险：经营风险、战略风险、金融风险。

经营风险是公司为了形成竞争优势及增加股东的价值而自愿承担的一种风险。

战略风险是由于政治与经济环境的根本性变化而产生的风险。

金融风险与金融市场可能的损失相关。

书籍介绍

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. --This text refers to an out of print or unavailable edition of this title.