Risk Management

Posted: 12 Nov 2010

See all articles by Philippe Jorion

Philippe Jorion

University of California, Irvine - Paul Merage School of Business

Date Written: December 2010


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

Jorion, Philippe, Risk Management (December 2010). Annual Review of Financial Economics, Vol. 2, pp. 347-365, 2010, Available at SSRN: https://ssrn.com/abstract=1707921 or http://dx.doi.org/10.1146/annurev-financial-073009-104045

Philippe Jorion (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

Campus Drive
Irvine, CA 92697-3125
United States
949-824-5245 (Phone)
949-824-8469 (Fax)

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