Value-at-Risk: The New Benchmark for Managing Financial Risk

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table2"> <tr> <td width="780"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table3"> <tr> <td align="right" height="198" width="1%"> <p align="left"> <img border="0" src="../images/book_jorion_philippe.gif" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table4"> <tr> <td colspan="3" width="0%"> <p class="book_title">Value-at-Risk<br> <span class="book_title_sub">The New Benchmark for Managing Financial Risk</span></td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="73, 0, 164, 33"> </map> <img border="0" src="../images_title/jorion26.gif" usemap="#FPMap2" width="179" height="158"></td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <center> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table5"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </center> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table6"> <tr> <td width="50%" valign="top"> <p align="left" class="body_expanded">The title of this book is misleading. The book is an elementary introduction to risk management, with summary chapters on market risk, credit risk, operational risk and liquidity risk. There are brief discussions of risk management in banking, investment management, pension funds, and corporate settings. The treatment of VaR is simplistic and, because it has changed little from the earlier 1996 edition, outdated. </p> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="130" align="left" id="table7"> <tr> <td width="125"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="5"> </td> </tr> </table> <p align="left" class="body_expanded">The book offers an overview of financial risk management for unsophisticated professionals starting out in the field. It is similar to Crouhy (<a href="../titles/crouhy_galai_and_mark_(2001).htm">2001</a>), but with more focus on market risk. For VaR, there are several alternatives. Butler (<a href="../titles/butler_c_(1999).htm">1999</a>) is an elementary text that walks readers through simple calculations. For managers interested in a broader overview, Dowd (<a href="../titles/dowd_k_(2002).htm">2002</a>) is excellent. Marrison (<a href="../titles/marrison_c_(2002).htm">2002</a>) provides a detailed introduction to VaR and risk management in a banking context. For risk managers or researchers, my own (<a target="_blank" href="../var.htm">2003</a>) book is the definitive text on value-at-risk.</p> </td> <td width="50%" valign="top" class="body" rowspan="2"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table8"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="5" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table9"> <tr> <td class="contents_expanded"> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"><b>Motivation</b></p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">1. The Need for Risk Management</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">2. Lessons from Financial Disasters</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">3. Regulatory Capital Standards with VAR</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"><b>Building Blocks</b></p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">4. Measuring Financial Risk</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">5. Computing Value at Risk</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">6. Backtesting VAR Models</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">7. Portfolio Risk: Analytical Methods</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">8. Forecasting Risks and Correlations</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"><b>Value-at-Risk Systems</b></p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">9. VAR Methods</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">10. Stress Testing</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">11. Implementing Delta-Normal VAR</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">12. Simulation Methods</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">13. Credit Risk</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">14. Liquidity Risk</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"><b>Applications of Risk-Management Systems</b></p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">15. Using VAR to Measure and Control Risk</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">16. Using VAR for Active Risk Management</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">17. VAR in Investment Management</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">18. The Technology of Risk</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">19. Operational Risk Management</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">20. Integrated Risk Management</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8"><b>The Risk-Management Profession</b></p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">21. Risk Management: Guidelines and Pitfalls</p> <p class="contents_compressed" style="margin-top: 8; margin-bottom: 8">22. Conclusions</td> </tr> </table> </td> </tr> </table> <p align="center" class="body"> <noscript></noscript> </p> </td> </tr> <tr> <td width="50%" valign="bottom"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table10"> <tr> <td width="100%"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </td> </tr> </table> <div align="left"> <table border="0" cellpadding="6" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" bgcolor="#FFFFCC" id="table11"> <tr> <td width="100%" align="center"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" bgcolor="#FFFFCC" id="table12"> <tr> <td> <p class="body" style="margin-bottom: 6"><b><font color="#333366" size="3">For related books, see sections:</font></b></p> <p class="bullet" style="margin-top: 4; margin-bottom: 4"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_general.htm">Risk Management - General</a></p> <p class="bullet" style="margin-top: 4; margin-bottom: 4"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_market_risk.htm">Risk Management - Market Risk</a></td> </tr> </table> </td> </tr> </table> </div> </td> <td>  </td> </tr> </table>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>