VALUE AT RISK VALUE AT RISK The New Benchmark for Managing Financial Risk THIRD EDITION PHILIPPE JORION Copyright © 2007, by The McGraw-Hill Companies, Inc. All rights reserved. Except as permitted under the United States Copyright Act of 1976, no part of this publication may be reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of the publisher. ISBN: 978-0-07173692-3 MHID: 0-07-1736921 The material in this eBook also appears in the print version of this title: ISBN: 978-0-07-146495-6, MHID: 0-07-146495-6. All trademarks are trademarks of their respective owners. Rather than put a trademark symbol after every occurrence of a trademarked name, we use names in an editorial fashion only, and to the benefit of the trademark owner, with no intention of infringement of the trademark. Where such designations appear in this book, they have been printed with initial caps. McGraw-Hill eBooks are available at special quantity discounts to use as premiums and sales promotions, or for use in corporate training programs. To contact a representative please e-mail us at