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More Value-at-risk (var) articles
Philippe Jorion University of California at Irvine This issue of the Journal of Risk illustrates the breadth of topics that fall under the general heading of market risk management. This includes value-at-risk...
Thanks to recent events, bank risk managers are placing more emphasis on integrating counterparty and credit risk into other portions of their enterprise-wide risk management systems.
“There is no evidence to support the assertion that VAR-based risk management systems destabilise the financial system,” says University of California at Irvine professor Philippe Jorion, in a p...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.