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Elements of financial risk management

by Christoffersen, Peter F.
[ ] Edition statement:2nd ed. Published by : Academic Press, (Amsterdam ; | Boston :) , 2012 Physical details: 1 online resource. ISBN:9780123744487 (electronic bk.); 0123744482 (electronic bk.). Subject(s): Financial risk management. | Electronic books. | Financial risk management. | Electronic books. Item type:
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List(s) this item appears in: City Campus School of Business
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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.

Part I: Background Risk Management and Financial Returns The Dangers of VaR and Historical Simulation. A Primer on Financial Econometrics. NEW Part 2: Portfolio Level Risk Models Volatility Modeling using Daily Returns Volatility Modeling using Intraday Returns. NEW Modeling the Conditional Distribution Part 3: Asset Level Risk Models Correlation Modeling Copula Models and Integrated Risk Management. NEW Simulating the Term Structure of Risk Part 4: Further Topics Option Pricing Option Risk Management CDS Pricing and Credit Risk Management. NEW Backtesting and Stress Testing.

Description based on print version record.

Includes bibliographical references and index.


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