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Christoffersen's Elements of Financial Risk Management,

Edition 3 A Buyside Perspective Using Excel and MATLAB

Editors: By Chayawat Ornthanalai and Peter Christoffersen

Publication Date: 31 Dec 2045

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Elements of Financial Risk Management focuses on the implementation of technique that help students and practitioners “bridge the gap¿ between standard textbooks on risk and real-life risk management systems. Without a highly sophisticated quant background, readers can understand its detailed and comprehensive coverage of most market-risk related topics. More a financial econometrics book than a financial risk management book, it shows how to apply tools developed in financial econometrics to risk management. It differs from typical risk management books by digging more deeply in the assumptions and models behind risk calculations.

Key Features

Covers both new research streams (e.g., asymmetrical t distributions) and new areas of interest for practitioners, such as external stress testing
Includes 4 new chapters, updates every existing chapter, and expands its pedagogical elements to include MATLAB exercises
Enables students and practitioners to grasp most concepts and techniques with limited knowledge of basic statistics and financial mathematics

About the author

By Chayawat Ornthanalai and Peter Christoffersen, Rotman School of Management, University of Toronto, Canada

Part I: The Fundamentals of Financial Risk Management
1. Risk Management and Financial Returns
2. Historical Simulation, Value-at-Risk, and Expected Shortfall
3. Time Series Analysis for Financial Risk Management
4. Back testing and Stress Testing

Part II Univariate Risk Models
5. Volatility Modeling Using Daily Data
6. Volatility Modeling Using Intraday Data
7. Non-normal Distributions

Part III Multivariate Risk Models
8. Covariance and Correlation Models
9. Simulating the Term Structure of Risk
10. Distributions and Copulas for Integrated Risk Management
11. Risk Management Using the Asymmetric t Distribution

Part IV: From Risk Management to Asset Management
12. Mean-Variance Portfolio Optimization and the Single Factor Model
13. Multifactor Models
14. Asset Management with Factor Structure

Part V Option Risk and Credit Risk
15. Option Pricing
16. Option Risk Management
17. The Risk and Return to Option Strategies
18. Credit Risk Management

ISBN: 9780128150061

Page Count: 400

Retail Price (USD) :

9780080982403; 9780123846822; 9780124016897; 9780123869685; 9780127444833