Elements of Financial Risk Management - 1st Edition - ISBN: 9780121742324, 9780080472614

Elements of Financial Risk Management

1st Edition

Authors: Peter Christoffersen
eBook ISBN: 9780080472614
Hardcover ISBN: 9780121742324
Imprint: Academic Press
Published Date: 22nd July 2003
Page Count: 214
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Description

Elements of Financial Risk Management offers an introduction to modern risk management. It focuses on implementation, especially recent techniques which facilitate bridging the gap between standard textbooks on risk and real-life risk management systems.

It identifies key features of risk asset returns and captures them in tractable statistical models in the companion website. It presents step-by-step approaches as a means to solve problems.

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.

The book will also suit those in financial engineering courses who have strong quantitative backgrounds and those in Ph.D. courses.

Key Features

Pinpoints key features of risk asset returns and captures them in tractable statistical models in the
companion website
Presents step-by-step approaches as a means to solve problems
*Visible patterns in the data motivate the choices of tools, and when tools fall short, it presents the next tool

Readership

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.

Table of 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

Details

No. of pages:
214
Language:
English
Copyright:
© Academic Press 2004
Published:
Imprint:
Academic Press
eBook ISBN:
9780080472614
Hardcover ISBN:
9780121742324

About the Author

Peter Christoffersen

Peter Christoffersen is the TMX Chair in Capital Markets and a Fellow of the Bank of Canada. He publishes in empirical asset pricing and financial econometrics and is the author of Elements of Financial Risk Management. He serves as an Associate Editor of the Journal of Derivatives. Peter has won research awards from AIMA Canada and the Q-Group. He previously taught at McGill University and worked at the IMF.

Affiliations and Expertise

Rotman School of Management, University of Toronto, Canada

Reviews

"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.