Value at Risk, 3rd Ed.
The New Benchmark for Managing Financial Risk
by:
Philippe Jorion
in:
Investing
Summary:
The book provides a comprehensive examination of the Value at Risk (VaR) concept, a widely used risk management tool for quantifying financial risk, discussing its application, strengths, and weaknesses. It covers the latest tools for measuring, managing, and mitigating financial risk, including advanced models and techniques, with real-world examples and case studies.
Key points:
1. VaR Overview: VaR measures the potential financial risk in a firm or portfolio over a time frame, showing the maximum expected loss at a certain confidence level. It's a key risk management tool for financial institutions.
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