Philippe Jorion

Philippe Jorion is a Belgian-born finance professor at UC Irvine's Paul Merage School of Business, best known for authoring "Value at Risk: The New Benchmark for Managing Financial Risk," now in its third edition. The book codified Value at Risk (VaR) methodology and became the standard reference for risk practitioners at banks, insurance companies, and investment managers. VaR — which estimates the maximum expected loss over a time horizon at a given confidence level — became the dominant market risk metric adopted by financial institutions globally and embedded into regulatory frameworks including the Basel Accords. Jorion has also written on currency risk management, portfolio optimization under estimation uncertainty, and lessons from historical financial disasters. He has been a critic of excessive reliance on VaR for tail risk management, noting that VaR metrics by definition exclude extreme events. His research on currency crises and sovereign debt contributes to emerging market risk analysis, and his textbooks are standard reading in financial risk management certification programs including the FRM.