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Philippe Jorion

Philippe Jorion

Chancellor's Professor, Finance

SB2 445

949.824.5245

pjorion@uci.edu    Personal website  

Education

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

Research Interest

Empirical research in investments

Managing financial risks

Global portfolio investments

Derivatives markets


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.

Selected Publications, News & Honors

Professor Jorion has been named Chancellor's Professor. This title is used to recognize "scholars who have demonstrated unusual academic merit and whose continued promise for scholarly achievement makes them of exceptional value to the university."

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) Handboook 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).

Research

Research Papers

  • "Risk Management for Event-Driven Funds", Financial Analysts Journal (2008).
  • "Tightening Credit Standards: The Role of Accounting Quality", with Charles Shi and Sanjian Zhang, Review of Accounting Studies (2008).
  • "Good and Bad Credit Contagion: Evidence from Credit Default Swaps", with Gaiyan Zhang, Journal of Financial Economics (2007).
  • "Information Effects of Bond Rating Changes: The Role of the Rating Prior to the Announcement",with Gaiyan Zhang, Journal of Fixed Income (2007).
  • "Risk Management for Hedge Funds with Position Information", Journal of Portfolio Management (2007).
  • "Firm Value And Hedging: Evidence From U.S. Oil and Gas Producers", with Yanbo Jin, Journal of Finance (2006).
  • "Trading Risk and Systemic Risk", in The Risk of Financial Institutions, NBER (2006).
  • "Informational Effects of Regulation FD: Evidence from Ratings Agencies", with Charles Shi and Zhu Liu, Journal of Financial Economics (2005).
  • "How Informative are Value-at-Risk Disclosures", Accounting Review (2002).
  • "The Long-Term Risks of Global Stock Markets", Financial Management (2003) Top five finalist for best paper
  • "Portfolio Optimization with Constraints on Tracking Error", Financial Analysts Journal (2003) Graham and Dodd Scroll Award
  • "Enhanced Index Funds and Tracking Error Optimization" Working Paper (2003).
  • Fallacies in the Effect of Risk Management Systems", Journal of Risk (Fall 2002) and Financial Stability Review (December 2002) .
  • "Risk Management Lessons from Long-Term Capital Management", European Financial Management (2000) Best Paper Award (awarded annually to the top paper in the EFM).
  • "Global Stock Markets in the Twentieth Century", with Will Goetzmann, published in the Journal of Finance (1999 Smith Breeden Prize winner (awarded annually to the top papers in the JF).
  • "Re-emerging Markets", with Will Goetzmann, Journal of Financial and Quantitative Analysis (1999). This was written before the Asian currency crisis! William F. Sharpe Award for Scholarship in Financial Research (awarded annually to the top three papers in JFQA).
  • "Multivariate Unit Root Tests of the PPP Hypothesis", with Renato Flores, Pierre-Yves Preumont, and Ariane Szafarz, Journal of Empirical Finance (1999).
  • "Lessons from the Orange County Bankruptcy", Journal of Derivatives (1997).
  • "Risk^2: Measuring the Risk in Value-At-Risk", Financial Analysts Journal (1996).
  • "Mean Reversion in Real Exchange Rates: Evidence and Implications for Forecasting", with R. Sweeney, Journal of International Money and Finance (August 1996).
  • "Returns to Japanese Investors From U.S. Investments", Japan and the World Economy (1996).
  • "Risk and Turnover in the Foreign Exchange Market", in Microstructure of Foreign Exchange Markets, Jeff Frankel, editor, University of Chicago Press (1996).
  • "Does Real Interest Parity Hold at Longer Maturities", Journal of International Economics (February 1996).
  • "Predicting Volatility in the Foreign Exchange Market", Journal of Finance (June 1995).
  • "A Longer Look at Dividend Yields", with Will Goetzmann, Journal of Business (October 1995).
  • "Valuing Executive Stock Options with Endogenous Departure", with Charles Cuny, Journal of Accounting and Economics (September 1995).
  • "A Mean-Variance Analysis of Currency Overlays", Financial Analysts Journal (May 1994).
  • "To Hedge or Not To Hedge: A Unified Framework", with S. Khoury, in Advances in International Banking and Finance, JAI Press (1995).
  • "Currency Hedging for International Portfolios", with J. Glen, Journal of Finance (December 1993).