
Elements of Financial Risk Management
Description
Key Features
- Examines market risk, credit risk, and operational risk
- Provides exceptional coverage of GARCH models
- Features online Excel-based empirical exercises
Readership
Graduate students and professionals working in financial engineering and risk management, quantitative asset management, macroeconomic and financial forecasting, quantitative trading, and applied research.
Table of Contents
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
Correlation Modeling
Copula Models and Integrated Risk Management. NEW
Simulating the Term Structure of Risk
Part 4: Further Topics
Option Pricing
Option Risk Management
CDS Pricing and Credit Risk Management. NEW
Backtesting and Stress Testing
Product details
- No. of pages: 344
- Language: English
- Copyright: © Academic Press 2011
- Published: November 10, 2011
- Imprint: Academic Press
- eBook ISBN: 9780080922430
- Paperback ISBN: 9780128102350
About the Author
Peter Christoffersen
Affiliations and Expertise
Ratings and Reviews
Latest reviews
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DIEGOLOPEZ Mon Nov 04 2019
Good
Good
GianniDe N. Mon Jan 14 2019
Excellent textbook and reference, no
Excellent textbook and reference, no competitors in that category