The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.
- Examines market risk, credit risk, and operational risk
- Provides exceptional coverage of GARCH models
- Features online Excel-based empirical exercises
Graduate students and professionals working in financial engineering and risk management, quantitative asset management, macroeconomic and financial forecasting, quantitative trading, and applied research.
Part I: Background
Risk Management and Financial Returns
The Dangers of VaR and Historical Simulation.
A Primer on Financial Econometrics. NEW
Part 2: Portfolio Level Risk Models
Volatility Modeling using Daily Returns
Volatility Modeling using Intraday Returns. NEW
Modeling the Conditional Distribution
Part 3: Asset Level Risk Models
Copula Models and Integrated Risk Management. NEW
Simulating the Term Structure of Risk
Part 4: Further Topics
Option Risk Management
CDS Pricing and Credit Risk Management. NEW
Backtesting and Stress Testing
"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."--Zentralblatt Math 2012-1235.91001
"With expanded treatment of derivatives, credit risk and operational risk, Christoffersen's 2e clearly emerges as the only serious choice for modern master’s-level risk measurement and management. It is unique in having no real competition at any level: every master’s student should be trained using it, yet simultaneously, every graduate student and professor will want to read it for his/her own edification."--Francis X. Diebold, University of Pennsylvania
"Christoffersen offers a timely and very readable introduction to modern risk management techniques. The book strikes an excellent balance between mathematical rigor and intuition. It has been thoroughly updated relative to the first version published almost a decade ago to reflect all of the most important new developments in the area, including new chapters on the analysis of high-frequency intraday data, copulas, and credit risk management among others. This is a winner, destined to emerge as one of the key references in the area."--Tim Bollerslev, Duke University
"Concise yet comprehensive, this pearl of a book captures the essence of modern management of market risk in a truly unique manner. It mixes rigor, intuition, and practical applications without overwhelming the reader. It is greatly recommended to the uninitiated reader as a place to learn and for the experienced scholar looking for a quick review. An unparalleled accomplishment within the field!"--Torben G. Andersen,<