Elements of Financial Risk Management
- Peter Christoffersen, Rotman School of Management, University of Toronto, Canada Rotman School of Management: 105 St. George Street, Toronto, ON, M5S 3E6
This book is intended for three types of readers with an interest in financial risk management. First, Master's and Ph.D. students specializing in finance and economics. Second, market practitioners with a quantitative undergraduate or graduate degree. Third, a small group of advanced undergraduates majoring in either economics, engineering, finance, or another quantitative field. Realistically, the book will best suit those in financial engineering courses who have strong quantitative backgrounds and those in Ph.D. courses.
- Published: July 2003
- Imprint: ACADEMIC PRESS
- ISBN: 978-0-12-174232-4
"Christoffersen offers a very readable, one-of-a-kind introduction to modern risk management and associated techniques for volatility and correlation modeling. The book strikes an excellent balance between mathematical rigor and intuition, and I would highly recommend it to any student or finance practitioner interested in learning about the latest and most important new developments in the field. This is a winner." --Tim Bollerslev, Duke University, Durham, North Carolina, U.S.A. "A very useful risk management book, emphasizing the statistical modeling of market risk" --Philippe Jorion, University of California, Irvine, U.S.A. "This is a book I and dozens of others wanted to write, and a book everyone in financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future -- an instant classic." --Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania, U.S.A.