SUMMARY

• Features 21 seminal papers split into the following six sections:

• Market Risk - VAR for Individual Assets

• Market Risk - VAR for Portfolios

• Market Risk - Stress Tests

• Liquidity Risk

• Credit Risk

• Risk Capital

• Each paper has been carefully selected to reflect the most significant recent developments in financial risk management to give you a cohesive view and deeper understanding of the entire field

• Provides a compact yet complete reference collection of all the latest and most significant empirical and theoretical research you need to further develop your understanding of financial risk management

About The Journal of Risk
The Journal of Risk provides a dedicated medium for the dissemination of both academic and practitioner research into financial risk management. Each quarterly issue features a broad range of theoretical and empirical studies from the leading academics and practitioners in the field, with major research topics covering the measurement and management of market risk, credit risk and operational risk. All published work is peer-reviewed by world-class academic scholars and industry experts, ensuring the highest level of quality and standards.

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  TABLE OF CONTENTS

Introduction
Philippe Jorion

Section 1: Market Risk: VAR for Individual Assets

1 VAR Risk Measures vs Traditional Risk Measures: An Analysis and Survey
Guy Kaplanski and Yoram Kroll

2 Incorporating Volatility Updating into the Historical Simulation Method for Value-at Risk
John Hull and Alan White

3 Risk Estimation Using the Normal Inverse Gaussian Distribution
Johannes H Venter and Pieter L. de Jongh

4 Regulatory Evaluation of Value-at-Risk Models
Jose A. Lopez

5 Fallacies about the Effects of Market Risk Management Systems
Philippe Jorion

Section 2: Market Risk: VAR for Portfolios

6 Improving Grid-Based Methods for Estimating Value-at-Risk of Fixed-Income Portfolios
Michael S. Gibson and Matthew Pritsker

7 Optimization of Conditional Value-at-Risk
R. Tyrrell Rockafeller and Stanislav Uryasev

8 Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be?
Xiongwei Ju and Neil D. Pearson

9 Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework
Jose A. Lopez and Christian A. Walter

10 Decomposing Portfolio Value-at-Risk: A General Analysis
Winfried J. Hallerbach

Section 3: Market Risk: Stress Tests

11 A Coherent Framework for Stress Testing
Jeremy Berkowitz

12 A stress Test to Incorporate Correlation Breakdown
Jongwoo Kim and Christopher C. Finger

13 A Methodology for Creating a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
Riccardo Rebonato and Peter Jäckel

14 Forecasting Portfolio Risk in Normal and Stressed Markets
Vineer Bhansali and Mark B. Wise

Section 4: Liquidity Risk

15 Optimal Execution of Portfolio Transactions
Robert Almgren and Neil Chriss

Section 5: Credit Risk

16 Evaluation of Credit Risk of a Portfolio with Stochastic Interest Rate and Default Processes
Masaaki Kijima and Yukio Muromachi

17 Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
Tibor Janosi, Robert Jarrow, and Yildiray Yildirim

18 Pricing Corporate Bonds with Dynamic Default Barriers
Cho-Hoi Hui, Chi-Fai Lo, and Shun-Wai Tsang

19 Incorporating Severity Variations into Credit Risk
Peter Buergisser, Alexandre Kurth and Armin Wagner

20 Evaluating Credit Risk Models Using Loss Density Forecasts
Hergen Frerichs and Gunter Löffler

Section 6: Risk Capital

21 Measuring Risk-Adjusted Performance
Michel Crouhy, Stuart Turnbull, and Lee Wakeman

INDEX

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  QUOTES

″At last! A publication which covers all aspects of 'holistic' financial risk management using 'best of breed' theory and practice. This will become a key resource for all risk management practitioners.″
John S. Martin, Head of Financial Market Advisory, ABN AMRO

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  AUTHOR BIOGRAPHY

Philippe Jorion is Professor of Finance at the Graduate School of Management at the University of California at Irvine, where he is currently Senior Associate Dean. He has taught at UC-Berkeley, Columbia University, Northwestern University, the University of Chicago, and the University of British Columbia. He has done extensive work in the area of financial risk management with derivative instruments, and is known as an expert on the topic of Value at Risk. Philippe has authored more than eighty publications including Financial Risk Management: Domestic and International Dimensions, Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County, Financial Risk Manager Handbook and Value at Risk: The New Benchmark for Managing Financial Risk. In addition, he is on the editorial board of a number of finance journals and is editor-in-chief of the Journal of Risk. Philippe's work has received wide recognition, including the Smith Breeden Prize in 1999 and the Graham and Dodd Scroll Award in 2003. Philippe is a frequent speaker at academic and professional conferences and executive seminars. He holds an MBA and a PhD from the University of Chicago, and a degree in engineering from the Université Libre de Bruxelles.

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  CONTRIBUTORS

Philippe Jorion; Guy Kaplanski; Yoram Kroll; John Hull; Alan White; Johannes H Venter; Pieter L. de Jongh; Jose A. Lopez; Michael S. Gibson; Matthew Pritsker; R. Tyrrell Rockafeller; Stanislav Uryasev; Xiongwei Ju; Neil D. Pearson; Christian A. Walter; Winfried J. Hallerbach; Jeremy Berkowitz; Jongwoo Kim; Christopher C. Finger; Riccardo Rebonato; Peter Jäckel; Vineer Bhansali; Mark B. Wise; Robert Almgren; Neil Chriss; Masaaki Kijima; Yukio Muromachi; Tibor Janosi, Robert Jarrow; Yildiray Yildirim; Cho-Hoi Hui, Chi-Fai Lo; Shun-Wai Tsang; Peter Buergisser, Alexandre Kurth; Armin Wagner; Hergen Frerichs; Gunter Löffler; Michel Crouhy, Stuart Turnbull, Lee Wakeman
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