IDEAS home Printed from https://ideas.repec.org/a/anr/refeco/v2y2010p347-365.html
   My bibliography  Save this article

Risk Management

Author

Listed:
  • Philippe Jorion

    (School of Business, the University of California, Irvine, Irvine, California 92697-3125)

Abstract

Modern risk management systems were developed in the early 1990s to provide centralized risk measures at the top level of financial institutions. These are based on a century of theoretical developments in risk measures. In particular, value at risk (VAR) has become widely used as a statistical measure of market risk based on current positions. This methodology has been extended to credit risk and operational risk. This article reviews the benefits and limitations of these models. In spite of all these advances, risk methods are poorly adapted to measure liquidity risk and systemic risk.

Suggested Citation

  • Philippe Jorion, 2010. "Risk Management," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 347-365, December.
    • Handle: RePEc:anr:refeco:v:2:y:2010:p:347-365
    as

    Download full text from publisher

    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-073009-104045
    Download Restriction: Full text downloads are only available to subscribers. Visit the abstract page for more information.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. The VIX: The only thing to fear is the lack of fear itself
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2014-07-14 17:36:53

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Carruthers, Bruce G., 2013. "Diverging derivatives: Law, governance and modern financial markets," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 386-400.
    2. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.

    More about this item

    Keywords

    risk measurement; market risk; value at risk; stress tests; credit risk;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:anr:refeco:v:2:y:2010:p:347-365. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: http://www.annualreviews.org (email available below). General contact details of provider: http://www.annualreviews.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.