New Edition
Elements of Financial Risk Management,
Edition 2
By Peter Christoffersen

Publication Date: 19 Aug 2016
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
About the author
By Peter Christoffersen, Rotman School of Management, University of Toronto, Canada Rotman School of Management: 105 St. George Street, Toronto, ON, M5S 3E6
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


Book details
ISBN: 9780128102350
Page Count: 344
Retail Price : £50.99
  • Glantz & Mun. The Banker's Handbook on Credit Risk. 2008. 9780123736666.  BookScan: 211 copies
  • Neftci. Principles of Financial Engineering, 2nd ed. 2009.  9780123735744.  BookScan: 1,029 copies
  • Audience

    Graduate students and professionals working in financial engineering and risk management, quantitative asset management, macroeconomic and financial forecasting, quantitative trading, and applied research.