Verfügbarkeit: Value at risk | Technische Universität München

Value at risk: the new benchmark for managing financial risk

Gespeichert in:

Bibliographische Detailangaben
Beteilige Person:	Jorion, Philippe 1955- (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	New York, NY [u.a.] McGraw-Hill 2007
Ausgabe:	3., [extensively rev.] ed.
Schlagwörter:	Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt Unternehmen Derivat > Wertpapier Value at Risk Kreditmarkt Risikomanagement Marktrisiko
Links:	http://www.loc.gov/catdir/enhancements/fy0659/2006015513-b.html http://www.loc.gov/catdir/enhancements/fy0659/2006015513-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015418548&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XVII, 602 S. graph. Darst.
ISBN:	0071464956 9780071464956

Internformat

MARC


LEADER	00000nam a2200000zc 4500
001	BV022207175
003	DE-604
005	20110908
007	t\|
008	070103s2007 xxud\|\|\| \|\|\|\| 00\|\|\| eng d
010			\|a 2006015513
020			\|a 0071464956 \|c hardcover : alk. paper \|9 0-07-146495-6
020			\|a 9780071464956 \|9 978-0-07-146495-6
035			\|a (OCoLC)69104260
035			\|a (DE-599)BVBBV022207175
040			\|a DE-604 \|b ger \|e aacr
041	0		\|a eng
044			\|a xxu \|c US
049			\|a DE-1049 \|a DE-706 \|a DE-703 \|a DE-N2 \|a DE-M347 \|a DE-1047 \|a DE-91 \|a DE-384 \|a DE-92 \|a DE-19 \|a DE-634 \|a DE-355 \|a DE-521 \|a DE-739 \|a DE-188 \|a DE-945 \|a DE-523
050		0	\|a HG6024.3
082	0		\|a 658.15/5
084			\|a QK 300 \|0 (DE-625)141640: \|2 rvk
084			\|a QK 600 \|0 (DE-625)141666: \|2 rvk
084			\|a QK 620 \|0 (DE-625)141668: \|2 rvk
084			\|a QK 660 \|0 (DE-625)141676: \|2 rvk
084			\|a WIR 170f \|2 stub
084			\|a WIR 040f \|2 stub
084			\|a WIR 905f \|2 stub
084			\|a WIR 175f \|2 stub
100	1		\|a Jorion, Philippe \|d 1955- \|e Verfasser \|0 (DE-588)124050638 \|4 aut
245	1	0	\|a Value at risk \|b the new benchmark for managing financial risk \|c Philippe Jorion
250			\|a 3., [extensively rev.] ed.
264		1	\|a New York, NY [u.a.] \|b McGraw-Hill \|c 2007
300			\|a XVII, 602 S. \|b graph. Darst.
336			\|b txt \|2 rdacontent
337			\|b n \|2 rdamedia
338			\|b nc \|2 rdacarrier
650		4	\|a Gestion du risque
650		4	\|a Marchés à terme d'instruments financiers
650		4	\|a Financial futures
650		4	\|a Risk management
650	0	7	\|a Kapitalmarkt \|0 (DE-588)4029578-3 \|2 gnd \|9 rswk-swf
650	0	7	\|a Unternehmen \|0 (DE-588)4061963-1 \|2 gnd \|9 rswk-swf
650	0	7	\|a Derivat \|g Wertpapier \|0 (DE-588)4381572-8 \|2 gnd \|9 rswk-swf
650	0	7	\|a Value at Risk \|0 (DE-588)4519495-6 \|2 gnd \|9 rswk-swf
650	0	7	\|a Kreditmarkt \|0 (DE-588)4073788-3 \|2 gnd \|9 rswk-swf
650	0	7	\|a Risikomanagement \|0 (DE-588)4121590-4 \|2 gnd \|9 rswk-swf
650	0	7	\|a Marktrisiko \|0 (DE-588)4506224-9 \|2 gnd \|9 rswk-swf
689	0	0	\|a Derivat \|g Wertpapier \|0 (DE-588)4381572-8 \|D s
689	0	1	\|a Risikomanagement \|0 (DE-588)4121590-4 \|D s
689	0		\|5 DE-604
689	1	0	\|a Unternehmen \|0 (DE-588)4061963-1 \|D s
689	1	1	\|a Risikomanagement \|0 (DE-588)4121590-4 \|D s
689	1	2	\|a Value at Risk \|0 (DE-588)4519495-6 \|D s
689	1		\|5 DE-604
689	2	0	\|a Kapitalmarkt \|0 (DE-588)4029578-3 \|D s
689	2	1	\|a Kreditmarkt \|0 (DE-588)4073788-3 \|D s
689	2	2	\|a Risikomanagement \|0 (DE-588)4121590-4 \|D s
689	2	3	\|a Marktrisiko \|0 (DE-588)4506224-9 \|D s
689	2	4	\|a Value at Risk \|0 (DE-588)4519495-6 \|D s
689	2		\|5 DE-604
856	4		\|u http://www.loc.gov/catdir/enhancements/fy0659/2006015513-b.html \|3 Contributor biographical information
856	4		\|u http://www.loc.gov/catdir/enhancements/fy0659/2006015513-d.html \|3 Publisher description
856	4	2	\|m HBZ Datenaustausch \|q application/pdf \|u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015418548&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA \|3 Inhaltsverzeichnis
943	1		\|a oai:aleph.bib-bvb.de:BVB01-015418548

Datensatz im Suchindex

DE-BY-TUM_call_number	0002 WIR 175 2008 A 6238(3)
DE-BY-TUM_katkey	1640574
DE-BY-TUM_location	00
DE-BY-TUM_media_number	040006508650
_version_	1821933279305007104
adam_text	CONTE NTS Preface vii Acknowledgments xvii Parti. MOTIVATION 1 1 The Need for Risk Management 3 2 Lessons from Financial Disasters 31 3 VAR Based Regulatory Capital 49 Part II. BUILDING BLOCKS 73 4 Tools for Measuring Risk 75 5 Computing VAR 105 6 Backtesting VAR 139 7 Portfolio Risk: Analytical Methods 159 8 Multivariate Models 189 9 Forecasting Risk and Correlations 219 Part III. VALUE AT RISK SYSTEMS 245 10 VAR Methods 247 11 VAR Mapping 277 12 Monte Carlo Methods 307 13 Liquidity Risk 333 14 Stress Testing 357 vi Contents Part IV. APPLICATIONS OF RISK MANAGEMENT SYSTEMS 377 15 Using VAR to Measure and Control Risk 379 16 Using VAR for Active Risk Management 403 17 VAR and Risk Budgeting in Investment Management 425 Part V. EXTENSIONS OF RISK MANAGEMENT SYSTEMS 451 18 Credit Risk Management 453 19 Operational Risk Management 491 20 Integrated Risk Management 515 Part VI. THE RISK MANAGEMENT PROFESSION 535 21 Risk Management Guidelines and Pitfalls 537 22 Conclusions 565 References 573 Index 585
any_adam_object	1
author	Jorion, Philippe 1955-
author_GND	(DE-588)124050638
author_facet	Jorion, Philippe 1955-
author_role	aut
author_sort	Jorion, Philippe 1955-
author_variant	p j pj
building	Verbundindex
bvnumber	BV022207175
callnumber-first	H - Social Science
callnumber-label	HG6024
callnumber-raw	HG6024.3
callnumber-search	HG6024.3
callnumber-sort	HG 46024.3
callnumber-subject	HG - Finance
classification_rvk	QK 300 QK 600 QK 620 QK 660
classification_tum	WIR 170f WIR 040f WIR 905f WIR 175f
ctrlnum	(OCoLC)69104260 (DE-599)BVBBV022207175
dewey-full	658.15/5
dewey-hundreds	600 - Technology (Applied sciences)
dewey-ones	658 - General management
dewey-raw	658.15/5
dewey-search	658.15/5
dewey-sort	3658.15 15
dewey-tens	650 - Management and auxiliary services
discipline	Wirtschaftswissenschaften
edition	3., [extensively rev.] ed.
format	Book
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03088nam a2200745zc 4500</leader><controlfield tag="001">BV022207175</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20110908 </controlfield><controlfield tag="007">t\|</controlfield><controlfield tag="008">070103s2007 xxud\|\|\| \|\|\|\| 00\|\|\| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">2006015513</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0071464956</subfield><subfield code="c">hardcover : alk. paper</subfield><subfield code="9">0-07-146495-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780071464956</subfield><subfield code="9">978-0-07-146495-6</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)69104260</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV022207175</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-1049</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-N2</subfield><subfield code="a">DE-M347</subfield><subfield code="a">DE-1047</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-634</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-523</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.3</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">658.15/5</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 300</subfield><subfield code="0">(DE-625)141640:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 170f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 040f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 905f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 175f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Jorion, Philippe</subfield><subfield code="d">1955-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124050638</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Value at risk</subfield><subfield code="b">the new benchmark for managing financial risk</subfield><subfield code="c">Philippe Jorion</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">3., [extensively rev.] ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York, NY [u.a.]</subfield><subfield code="b">McGraw-Hill</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 602 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Gestion du risque</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Marchés à terme d'instruments financiers</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial futures</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Unternehmen</subfield><subfield code="0">(DE-588)4061963-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Marktrisiko</subfield><subfield code="0">(DE-588)4506224-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Unternehmen</subfield><subfield code="0">(DE-588)4061963-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="1"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="2"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="3"><subfield code="a">Marktrisiko</subfield><subfield code="0">(DE-588)4506224-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="4"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/enhancements/fy0659/2006015513-b.html</subfield><subfield code="3">Contributor biographical information</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/enhancements/fy0659/2006015513-d.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015418548&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-015418548</subfield></datafield></record></collection>
id	DE-604.BV022207175
illustrated	Illustrated
indexdate	2024-12-20T12:50:04Z
institution	BVB
isbn	0071464956 9780071464956
language	English
lccn	2006015513
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-015418548
oclc_num	69104260
open_access_boolean
owner	DE-1049 DE-706 DE-703 DE-N2 DE-M347 DE-1047 DE-91 DE-BY-TUM DE-384 DE-92 DE-19 DE-BY-UBM DE-634 DE-355 DE-BY-UBR DE-521 DE-739 DE-188 DE-945 DE-523
owner_facet	DE-1049 DE-706 DE-703 DE-N2 DE-M347 DE-1047 DE-91 DE-BY-TUM DE-384 DE-92 DE-19 DE-BY-UBM DE-634 DE-355 DE-BY-UBR DE-521 DE-739 DE-188 DE-945 DE-523
physical	XVII, 602 S. graph. Darst.
publishDate	2007
publishDateSearch	2007
publishDateSort	2007
publisher	McGraw-Hill
record_format	marc
spellingShingle	Jorion, Philippe 1955- Value at risk the new benchmark for managing financial risk Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt (DE-588)4029578-3 gnd Unternehmen (DE-588)4061963-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Value at Risk (DE-588)4519495-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 gnd Marktrisiko (DE-588)4506224-9 gnd
subject_GND	(DE-588)4029578-3 (DE-588)4061963-1 (DE-588)4381572-8 (DE-588)4519495-6 (DE-588)4073788-3 (DE-588)4121590-4 (DE-588)4506224-9
title	Value at risk the new benchmark for managing financial risk
title_auth	Value at risk the new benchmark for managing financial risk
title_exact_search	Value at risk the new benchmark for managing financial risk
title_full	Value at risk the new benchmark for managing financial risk Philippe Jorion
title_fullStr	Value at risk the new benchmark for managing financial risk Philippe Jorion
title_full_unstemmed	Value at risk the new benchmark for managing financial risk Philippe Jorion
title_short	Value at risk
title_sort	value at risk the new benchmark for managing financial risk
title_sub	the new benchmark for managing financial risk
topic	Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt (DE-588)4029578-3 gnd Unternehmen (DE-588)4061963-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Value at Risk (DE-588)4519495-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 gnd Marktrisiko (DE-588)4506224-9 gnd
topic_facet	Gestion du risque Marchés à terme d'instruments financiers Financial futures Risk management Kapitalmarkt Unternehmen Derivat Wertpapier Value at Risk Kreditmarkt Risikomanagement Marktrisiko
url	http://www.loc.gov/catdir/enhancements/fy0659/2006015513-b.html http://www.loc.gov/catdir/enhancements/fy0659/2006015513-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015418548&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT jorionphilippe valueatriskthenewbenchmarkformanagingfinancialrisk

Verfügbarkeit

Bestellen (Login erforderlich)

Inhaltsverzeichnis
Paper/Kapitel scannen lassen

Teilbibliothek Stammgelände

Bestandsangaben von Teilbibliothek Stammgelände
Signatur:	0002 WIR 175 2008 A 6238(3) Lageplan
Exemplar 1	Ausleihbar Am Standort