Elements of Financial Risk Management

Peter Christoffersen

214 pages, parution le 16/07/2004

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Résumé

Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems that provide VAR-like measures. Risk managers are therefore often left with the daunting task of having to choose from this plethora of risk measures.

While basic VAR textbooks describe average VAR situations, the vast majority of these situations are abnormal. Elements of Financial Risk Management focuses on implementation, especially recent techniques which facilitate "bridging the gap" between standard textbooks on risk and real-life risk management systems. This book will appeal to practitioners in the financial services and investment industries, as well as graduate students and advanced undergraduates who want exposure to these techniques.

Features

Pinpoints key features of risk asset returns and captures them in tractable statistical models in the accompanying CD-ROM
Presents step-by-step approaches as a means to solve problems
Visible patterns in the data motivate the choices of tools, and when tools fall short, it presents the next tool

L'auteur - Peter Christoffersen

Dr. Peter Christoffersen , McGill University, Montreal, Quebec, Canada

Sommaire

Risk Management and Financial Returns
Volatility Forecasting
Correlation Modeling
Modeling the Conditional Distribution
Simulation-Based Methods
Option Pricing
Modeling Option Risk
Backtesting and Stress Testing

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Academic Press
Auteur(s)	Peter Christoffersen
Parution	16/07/2004
Nb. de pages	214
Format	15,5 x 23,5
Couverture	Broché
Poids	525g
Intérieur	Noir et Blanc
EAN13	9780121742324
ISBN13	978-0-12-174232-4