Philippe Jorion

Philippe Jorion received his MBA and PhD from the University of Chicago and has been a professor of finance at the Paul Merage School of Business at UC Irvine since 2000. He is best known for writing "Value at Risk: The New Benchmark for Managing Financial Risk," now in its third edition, which became the definitive reference text for financial risk management. The book provides a comprehensive and rigorous treatment of Value at Risk methodology — the statistical measure of potential portfolio losses over a given time horizon at a given confidence level — covering parametric VaR, historical simulation, Monte Carlo simulation, and stress testing. VaR became the regulatory standard for market risk capital requirements under the Basel Accords following its adoption by JP Morgan's RiskMetrics system, and Jorion's textbook helped propagate the methodology and its correct application across the global banking system. He also holds the CFA and FRM designations and has contributed to the FRM examination curriculum. Jorion has done extensive research on the lessons of financial crises, including detailed post-mortems of the LTCM collapse and Orange County bankruptcy, which became widely cited case studies in risk management education. His analysis of the limitations of VaR — particularly its inability to capture tail risk and its sensitivity to model assumptions — has been an important part of the ongoing debate about appropriate risk measurement frameworks.