Christoffersen's Elements of Financial Risk Management

A Buyside Perspective Using Excel and MATLAB
3rd Auflage
ISBN: 978-0-12-815006-1
Verlag: Elsevier Health Sciences

Buch, Englisch, 400 Seiten, Format (B × H): 152 mm x 229 mm

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.

Zielgruppe

<p>Senior undergraduates and graduate students studying financial econometrics and practitioners who need "how-to" information about methods for financial risk management.</p>

Autoren/Hrsg.

Ornthanalai, Chayawat

Christoffersen, Peter

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft

Inhaltsverzeichnis

Part I: The Fundamentals of Financial Risk Management1. Risk Management and Financial Returns2. Historical Simulation, Value-at-Risk, and Expected Shortfall3. Time Series Analysis for Financial Risk Management4. Back testing and Stress Testing

Part II Univariate Risk Models5. Volatility Modeling Using Daily Data6. Volatility Modeling Using Intraday Data7. Non-normal Distributions

Part III Multivariate Risk Models8. Covariance and Correlation Models9. Simulating the Term Structure of Risk10. Distributions and Copulas for Integrated Risk Management11. Risk Management Using the Asymmetric t Distribution

Part IV: From Risk Management to Asset Management12. Mean-Variance Portfolio Optimization and the Single Factor Model13. Multifactor Models14. Asset Management with Factor Structure

Part V Option Risk and Credit Risk15. Option Pricing16. Option Risk Management17. The Risk and Return to Option Strategies18. Credit Risk Management

Über Autor(innen)

Christoffersen, Peter
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.