Elements of Financial Risk Management, Second Edition

  • 5h 15m
  • Peter F. Christoffersen
  • Elsevier Science and Technology Books, Inc.
  • 2012

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. Four new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual and PowerPoint slides, support its step-by-step approach to choosing tools and solving problems.

  • Examines market risk, credit risk, and operational risk
  • Provides exceptional coverage of GARCH models
  • Features online Excel-based empirical exercises

In this Book

  • Risk Management and Financial Returns
  • Historical Simulation, Value-at-Risk, and Expected Shortfall
  • A Primer on Financial Time Series Analysis
  • Volatility Modeling Using Daily Data
  • Volatility Modeling Using Intraday Data
  • Nonnormal Distributions
  • Covariance and Correlation Models
  • Simulating the Term Structure of Risk
  • Distributions and Copulas for Integrated Risk Management
  • Option Pricing
  • Option Risk Management
  • Credit Risk Management
  • Backtesting and Stress Testing