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【ヴァリュー・アット・リスク】

Value at Risk: The benchmark for controlling market risk.　2nd ed.　hardcover　364 p., 60 illus.

Jorion, Philippe. 　著

在庫状況お取り寄せ	お届け予定日 1ヶ月
価格 \22,283（税込）

発行年月	2001年01月
出版社／提供元	The McGraw-Hill Companies
出版国	アメリカ合衆国
言語	英語
媒体	冊子
装丁	hardcover
ページ数／巻数	364 p., 60 illus.
ジャンル	洋書／社会科学／経済学／金融経済学
ISBN	9780071355025
商品コード	0200007122
本の性格	実務向け
新刊案内掲載月	2004年10月
商品URL	https://kw.maruzen.co.jp/ims/itemDetail.html?itmCd=0200007122

内容

Includes a chapter on liquidity risk, information on the risk instrumentsand the expanded derivatives market, developments in Monte Carlo methods, andmore. This title aims to help professional risk managers understand, andoperate within, dynamic risk environment.

Motivation. The Need for Risk Management. Lessons from FinancialDisasters. Regulatory Capital Tandards with VAR. Lessons from FinancialDisasters. Regulatory Capital Standards with VAR. Building Blocks.Measuring Financial Risk. Computing Value at Risk. Backtesting VAR Models.Porfolio Risk: Analytical Methods. Forecasting Risks and Correlations.Value-At-Risk Systems. VAR Methods. Sress Testing. ImplemenetingDelta-Normal VAR. Simulation Methods. Credit Risk. Liquidity Risk.Applications of Risk-Management Systems. Using VAR to Measure and ControlRisk. Using VAR for Active Risk Management. VAR in Investment Management.The Technology of Risk. Operational Risk Management. Integrated RiskManagement. The Risk-Management Profession. Risk Management: Guidelines andPitfalls. Conclusions.