Philippe Jorion

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Phillipe Jorion
Photo-sm.jpg
Born June 15 ,1955
Nationality French
Alma mater University of Chicago
Occupation Academic, author, businessman
Organization Pacific Alternative Asset Management Company
Known for Value at risk , financial risk management
Notable work Smith Breedan prize, Graham and Dodd Scroll Award papers
Website Jorion at Cal/Irvine

Philippe Jorion is a Professor, University of California, Irvine - Paul Merage School of Business. Jorion has authored more than eighty papers on the topics of risk management and international finance, especially on the topic of Value at Risk (VaR). He has authored and co-authored four books. He is also a partner with the Pacific Alternative Asset Management Company, LLC.(PAAMCO).

Research papers

Jorion has a number of award winning papers.[1][2]

Year Award Paper
2012 Graham and Dodd Scroll Award Is There a Cost to Transparency?[3]
2003 Graham and Dodd Scroll Award Portfolio Optimization with Tracking-Error Constraints[4]
1999 Amundi Smith Breeden Prize Global Stock Markets in the Twentieth Century[5]

Business career

Jorion is a partner in the investment management firm, Pacific Alternative Asset Management Company, LLC.(PAAMCO),[6] where he serves as managing director of the Risk Management group.[7] PAAMCO invests in hedge funds using investment strategies such as convertible bond hedging, distressed debt, equity market neutral, event-driven equity, fixed income relative value, long/short credit, and long/short equity.[6]

Books

  • Phillipe Jorion and Sarkis Khoury, Financial Risk Management: Domestic and International Dimensions, Blackwell (March 1995)
  • Phillipe Jorion, Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County, Academic Press (September 1995)
  • Phillipe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, third edition, McGraw-Hill (August 2006)
  • Phillipe Jorion, Financial Risk Manager Handbook, sixth edition, Wiley (2010)

References

External links