Philippe Jorion
Phillipe Jorion | |
---|---|
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
- ↑ "Amundi Smith Breeden Prizes". American Finance Association. Retrieved December 14, 2015.
- ↑ "Graham and Dodd Award Winners". CFA Institute. Retrieved December 14, 2015.
- ↑ "Is There a Cost to Transparency?". CFA Institute. Retrieved December 14, 2015.
- ↑ "Portfolio Optimization with Tracking-Error Constraints". CFA Institute. Retrieved December 14, 2015.
- ↑ Jorion, Phillipe; Goetzmann, William N. (2003). Global Stock Markets in the Twentieth Century (PDF). Retrieved December 14, 2015.
- ↑ 6.0 6.1 "Philippe Jorion, Ph.D." Bloomberg.com. Retrieved December 14, 2015.
- ↑ "Philippe Jorion, PhD". Paamco.com. Retrieved December 14, 2015.
External links
- Web page
- Author page, Academic search (beta)
- Philippe Jorion : Citation Profile, CitEc
- IDEAS, RePEc
- SSRN Working papers