Christoffersen's Elements of Financial Risk Management (3 ed)
A Buyside Perspective Using Excel and MATLAB

By (author) Peter Christoffersen,Chayawat Ornthanalai

ISBN13: 9780128150061

Imprint: Academic Press Inc

Publisher: Elsevier Science Publishing Co Inc

Format: Paperback / softback

Published: 01/09/2023

Availability: Not yet available

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.
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
  • Finance
  • Economic statistics
  • Budgeting & financial management
  • Tertiary Education (US: College)
List Price: £76.95