Philippe Jorion

Philippe Jorion is a professor at UC Irvine's Paul Merage School of Business and author of "Value at Risk: The New Benchmark for Managing Financial Risk" (now in its 3rd edition), which became the standard textbook reference for risk managers in banks, insurance companies, and investment firms globally. VaR methodology — estimating the maximum expected loss over a given period at a given confidence level — became required by banking regulators under the Basel Accords. Jorion's academic contributions to risk measurement methodology and his practitioner-accessible writing made him the most influential author in quantitative risk management. He has also published extensively on the distinction between VaR, Expected Shortfall, and stress testing as complementary tools, and on the limitations of parametric VaR when return distributions exhibit fat tails — a critique that gained particular prominence following the 2008 crisis when many VaR models severely underestimated actual tail losses.