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| ELEMENTS OF FINANCIAL RISK MANAGEMENT
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To order this title, and for more information, click here
By
Peter Christoffersen, McGill University, Montreal, Quebec, Canada
Description
Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial
vendors offer enterprise or trading risk management systems that provide VAR-like measures. Risk managers are therefore often left with
the daunting task of having to choose from this plethora of risk measures.
While basic VAR textbooks describe average VAR situations,
the vast majority of these situations are abnormal. Elements of Financial Risk Management focuses on implementation,
especially recent techniques which facilitate "bridging the gap" between standard textbooks on risk and real-life risk management systems.
This book will appeal to practitioners in the financial services and investment industries, as well as graduate students and advanced
undergraduates who want exposure to these techniques.
Audience
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.
Contents
Risk Management and Financial Returns; Volatility Forecasting; Correlation Modeling; Modeling the Conditional Distribution; Simulation-Based
Methods; Option Pricing; Modeling Option Risk; Backtesting and Stress Testing
| Bibliographic details |
Hardbound, 214 pages, publication date: JUL-2003
ISBN-13: 978-0-12-174232-4
ISBN-10: 0-12-174232-6
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
USD 98.95
EUR 75.95
GBP 64
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Books and book related electronic products are priced in US dollars (USD), euro (EUR), and Great Britain Pounds (GBP). USD prices apply to the Americas and Asia Pacific. EUR prices apply in Europe and the Middle East. GBP prices apply to the UK and all other countries.
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Last update: 4 Sep 2009
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