… Philippe Jorion is a frequent speaker at academic and professional conferences. He is on
the … As a part of delivering on that mission, GARP has again teamed with Philippe Jorion to …

… Philippe Jorion provides the most current information needed to understand and implement
VAR-as well as manage newer dimensions of financial risk. Featured updates include: An …

Measures of volatility implied in option prices are widely believed to be the best available
volatility forecasts. In this article, we examine the information content and predictive power of …

In portfolio analysis, uncertainty about parameter values leads to suboptimal portfolio choices.
The resulting loss in the investor's utility is a function of the particular estimator chosen for …

The 1998 failure of Long‐Term Capital Management (LTCM) is said to have nearly blown up
the world’s financial system. For such a near‐catastrophic event, the finance profession has …

This paper reexamines the ability of dividend yields to predict long‐horizon stock returns.
We use the bootstrap methodology, as well as simulations, to examine the distribution of test …

This article examines the exposure of US multinationals to foreign currency risk. Evidence is
presented that the relationship between stock returns and exchange rates differs …

This paper examines the pricing of exchange rate risk in the US stock market, using two factor
and multi-factor arbitrage pricing models. Evidence is presented that the relation between …

As an example, an ex post optimal portfolio of US andforeign bonds is compared with two
benchmarks-a world bond index and a US. bond index. Taking sampling variability into …

● Basel Committee for Banking Supervision (1998) requires commercial banks to hold capital
reserves to cover market risk, based on internal Value at Risk (VAR) models; expanded to …