By
Peter Christoffersen, Rotman School of Management, University of Toronto, Canada
Rotman School of Management: 105 St. George Street, Toronto, ON, M5S 3E6
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.
