Value at Risk, 3rd Ed.

Since its debut, Value at Risk has set the benchmark in risk management. Now in its Third Edition, Philippe Jorion delivers an up-to-date and comprehensive resource that reflects the significant changes transforming the field worldwide. This edition offers clear, current guidance on applying the value-at-risk methodology and delves into new dimensions of financial risk, with a particular emphasis on operational risk. The Third Edition introduces innovative approaches to integrated risk management, including methods for measuring economic capital and risk budgeting in investment management. Readers will also find fresh insights into advanced risk-management techniques such as extreme value theory, principal components analysis, and copulas, along with detailed discussions of the recently established Basel II capital adequacy rules for commercial banks. Enhanced by end-of-chapter questions and exercises - with detailed answers available on the companion website - this edition remains an indispensable guide for professionals seeking to master the complexities of risk management.