Philippe Jorion

Philippe Jorion has authored more than 90 publications directed to academics and practitioners on the topics of risk management and international finance. His work has received wide recognition, including the Smith Breeden Prize, which is awarded to the best papers in the Journal of Finance and the Graham and Dodd Scroll Award for best papers in the Financial Analysts Journal. He has done extensive work in the area of financial risk management with derivative instruments, and is known as an expert on the topic of Value at Risk.

Professor Jorion has written a number of books including "Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County," the first account of the largest municipal failure in U.S. history, "Financial Risk Management: Domestic and International Dimensions," a graduate-level textbook on the global dimensions of risk management, and "Value at Risk: The New Benchmark for Managing Financial Risk," a best-seller in its field. He also wrote the "Financial Risk Manager Handbook."

He is a frequent speaker at academic and professional conferences. He has delivered executive seminars on the topics of risk management, global asset allocation, fixed income markets, and international finance. He is on the editorial board of a number of finance journals and was editor-in-chief of the Journal of Risk. Professor Jorion previously served as vice dean and associate dean for the Merage School.

He is also a managing director at Pacific Alternative Asset Management Company (PAAMCO), a global fund of hedge funds.

Education

• PhD, University of Chicago
• MBA, University of Chicago
• MEng, Universite Libre de Bruxelles

Research Interests

• Empirical research in investments
• Managing financial risks
• Global portfolio investments
• Derivatives markets

Honors

• Philippe Jorion received a Graham and Dodd Scroll Award, which is given to the best papers in the Financial Analysts Journal. The paper, Portfolio Optimization with Tracking-Error Constraints was judged among the best of hundreds of journal submissions during 2003.
• Philippe Jorion's paper, "Risk Management Lessons from Long-Term Capital Management," won the Best Paper Award in European Financial Management.
• Philippe Jorion's paper, "Global Stock Markets in the Twentieth Century" was a Smith Breeden Prize winner for 1999. The Smith Breeden Prizes are awarded annually for the top three papers in the Journal of Finance, which is widely considered to be the best journal in the field.
• Philippe Jorion's paper, "Re-emerging Markets" was a William F. Sharpe Award for Scholarship in Financial Research winner for 1999. The papers are selected by readers of the Journal of Financial and Quantitative Analysis as those that have "most contributed to our understanding of important areas of financial economics."
• Award for Faculty Service Excellence, 2002
• BSI Gamma Foundation Research Grant, 2002, for proposal “Enhanced Index Funds and Tracking Error Optimization”

Books

• The fourth edition of the Financial Risk Manager (FRM) Handbook is in print (June 2007). Published by Wiley, the Handbook is the standard manual for GARP.
• The third edition of the Value at Risk book is in print. Published by McGrawHill in 2006, this is the best-selling book on risk management. It has been called "an industry standard for VAR."
• Professor Jorion wrote the first account of the Orange County disaster, "Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County", published by Academic Press (September 1995).