Elements of Financial Risk Management
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Elements of Financial Risk Management

2nd Edition - November 10, 2011

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  • Author: Peter Christoffersen
  • eBook ISBN: 9780080922430
  • Paperback ISBN: 9780128102350

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Description

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.  

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

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

Ratings and 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