Risk Management

Philippe Jorion

Annual Review of Financial Economics, 2010, vol. 2, issue 1, 347-365

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.

Keywords: risk measurement; market risk; value at risk; stress tests; credit risk (search for similar items in EconPapers)
JEL-codes: G12 G13 G32 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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