Assessing Market Risk by Jorion Philippe - Free download as PDF File (.pdf), Text File (.txt) or read online for free. 1. Component of risk measurement Buy Value at Risk 3rd edition (9780071464956) by Philippe Jorion for up to 90% off at Textbooks.com.2.1 Definition of VaR According to Philippe Jorion, “VaR measures the worst expected loss over a given horizon under normal market conditions at a given “On Limiting the Retained Mortgage Portfolios of Fannie Mae and Freddie Mac.” AEI Presentation, April 20, 2005. Jorion, Philippe. Value at Risk. Philippe Jorion Professor of Finance , University of California - Irvine Author , Value at Risk : The New Benchmark for Controlling Derivatives Risk “ An 1 VAR asa Benchmark Measure 116 5.2. · 2 VAR as a Potential Loss Measure 117 5.2. · 3 VAR as Equity Capital 117 5.24 Criteria for Backtesting 119 5.2. A short description of GARCH models and their applications can be found in: Jorion, Philippe (1997) Value at Risk: The New Benchmark for Controlling Market Authored by renowned risk management expert Philippe Jorion-withthe full support of GARP-this definitive guide summarizes the corebody of knowledge for Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. PHILIPPE JORION is Professor of Finance at the School of Business at the University of California at Irvine. He was also a professor at Columbia,