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Christoffersen's Elements of Financial Risk Management
A Buyside Perspective Using Excel and MATLAB
- 3rd Edition - September 1, 2029
- Authors: Chayawat Ornthanalai, Peter Christoffersen
- Language: English
- Paperback ISBN:9 7 8 - 0 - 1 2 - 8 1 5 0 0 6 - 1
- eBook ISBN:9 7 8 - 0 - 1 2 - 8 1 5 0 0 7 - 8
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-l… Read more
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Request a sales quoteElements 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.
- 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
Senior undergraduates and graduate students studying financial econometrics and practitioners who need "how-to" information about methods for financial risk management
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
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
- No. of pages: 400
- Language: English
- Edition: 3
- Published: September 1, 2029
- Imprint: Academic Press
- Paperback ISBN: 9780128150061
- eBook ISBN: 9780128150078
PC
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