Catalogue


Elements of financial risk management [electronic resource] /
Peter F. Christoffersen.
edition
2nd ed.
imprint
Waltham, MA : Academic Press, c2012
description
xvi, 326 p. : ill. (some col.) ; 24 cm.
ISBN
0123744482, 9780123744487
format(s)
Book
Subjects
More Details
imprint
Waltham, MA : Academic Press, c2012
isbn
0123744482
9780123744487
restrictions
Licensed for access by U. of T. users.
catalogue key
8202596
 
Includes bibliographical references and index.
A Look Inside
Reviews
Review Quotes
"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."-- Zentralblatt Math 2012- 1235.91001 "With expanded treatment of derivatives, credit risk and operational risk, Christoffersen's 2e clearly emerges as the only serious choice for modern master's-level risk measurement and management. It is unique in having no real competition at any level: every master's student should be trained using it, yet simultaneously, every graduate student and professor will want to read it for his/her own edification."-- Francis X. Diebold, University of Pennsylvania "Christoffersen offers a timely and very readable introduction to modern risk management techniques. The book strikes an excellent balance between mathematical rigor and intuition. It has been thoroughly updated relative to the first version published almost a decade ago to reflect all of the most important new developments in the area, including new chapters on the analysis of high-frequency intraday data, copulas, and credit risk management among others. This is a winner, destined to emerge as one of the key references in the area."-- Tim Bollerslev, Duke University "Concise yet comprehensive, this pearl of a book captures the essence of modern management of market risk in a truly unique manner. It mixes rigor, intuition, and practical applications without overwhelming the reader. It is greatly recommended to the uninitiated reader as a place to learn and for the experienced scholar looking for a quick review. An unparalleled accomplishment within the field!"-- Torben G. Andersen, Northwestern University
"With expanded treatment of derivatives, credit risk and operational risk, Christoffersen's Second Edition clearly emerges as the only serious choice for modern master's-level risk measurement and management. It is unique in having no real competition at any level: every master's student should be trained using it, yet simultaneously, every graduate student and professor will want to read it for his/her own edification." --Francis X. Diebold, University of Pennsylvania "Christoffersen offers a timely and very readable introduction to modern risk management techniques. The book strikes an excellent balance between mathematical rigor and intuition. It has been thoroughly updated relative to the first version published almost a decade ago to reflect all of the most important new developments in the area, including new chapters on the analysis of high-frequency intraday data, copulas, and credit risk management among others. This is a winner, destined to emerge as one of the key references in the area." --Tim Bollerslev, Duke University
"With expanded treatment of derivatives, credit risk and operational risk, Christoffersen's Second Edition clearly emerges as the only serious choice for modern master's-level risk measurement and management.  It is unique in having no real competition at any level:  every master's student should be trained using it, yet simultaneously, every graduate student and professor will want to read it for his/her own edification." --Francis X. Diebold, University of Pennsylvania   "Christoffersen offers a timely and very readable introduction to modern risk management techniques.  The book strikes an excellent balance between mathematical rigor and intuition.  It has been thoroughly updated relative to the first version published almost a decade ago to reflect all of the most important new developments in the area, including new chapters on the analysis of high-frequency intraday data, copulas, and credit risk management among others.  This is a winner, destined to emerge as one of the key references in the area." --Tim Bollerslev, Duke University   "Concise yet comprehensive, this pearl of a book captures the essence of modern management of market risk in a truly unique manner. It mixes rigor, intuition, and practical applications without overwhelming the reader. It is greatly recommended to the uninitiated reader as a place to learn and for the experienced scholar looking for a quick review. An unparalleled accomplishment within the field!" --Torben G. Andersen, Northwestern University
To find out how to look for other reviews, please see our guides to finding book reviews in the Sciences or Social Sciences and Humanities.
Summaries
Back Cover Copy
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. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.
Bowker Data Service Summary
Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. This title focuses on implementation, especially techniques which facilitate 'bridging the gap' between standard textbooks on risk and real-life risk management systems.
Main Description
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. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, 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
Main Description
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
Table of Contents
Prefacep. xiii
Acknowledgmentsp. xv
Backgroundp. 1
Risk Management and Financial Returnsp. 3
Chapter Outlinep. 3
Learning Objectivesp. 3
Risk Management and the Firmp. 4
A Brief Taxonomy of Risksp. 6
Asset Returns Definitionsp. 7
Stylized Facts of Asset Returnsp. 9
A Generic Model of Asset Returnsp. 11
From Asset Returns to Portfolio Returnsp. 12
Introducing the Value-at-Risk (VaR) Risk Measurep. 12
Overview of the Bookp. 16
Appendix: Return VaR and $VaRp. 17
Further Resourcesp. 18
Referencesp. 18
Empirical Exercisesp. 19
Historical Simulation, Value at Risk, and Expected Shortfallp. 21
Chapter Overviewp. 21
Historical Simulationp. 21
Weighted Historical Simulation (WHS)p. 24
Evidence from the 2008-2009 Crisisp. 28
The True Probability of Breaching the HS VaRp. 31
VaR with Extreme Coverage Ratesp. 32
Expected Shortfallp. 33
Summaryp. 36
Further Resourcesp. 37
Referencesp. 37
Empirical Exercisesp. 38
A Primer on Financial Time Series Analysisp. 39
Chapter Overviewp. 39
Probability Distributions and Momentsp. 40
The Linear Modelp. 45
Univariate Time Series Modelsp. 48
Multivariate Time Series Modelsp. 59
Summaryp. 62
Further Resourcesp. 63
Referencesp. 63
Empirical Exercisesp. 64
Univariate Risk Modelsp. 65
Volatility Modeling Using Daily Datap. 67
Chapter Overviewp. 67
Simple Variance Forecastingp. 68
The GARCH Variance Modelp. 70
Maximum Likelihood Estimationp. 73
Extensions to the GARCH Modelp. 76
Variance Model Evaluationp. 82
Summaryp. 86
Component GARCH and GARCH(2,2)p. 86
The HYGARCH Long-Memory Modelp. 88
Further Resourcesp. 89
Referencesp. 89
Empirical Exercisesp. 91
Volatility Modeling Using Intraday Datap. 93
Chapter Overviewp. 93
Realized Variance: Four Stylized Factsp. 94
Forecasting Realized Variancep. 98
Realized Variance Constructionp. 103
Data Issuesp. 107
Range-based Volatility Modelingp. 110
GARCH Variance Forecast Evaluation Revisitedp. 115
Summaryp. 116
Further Resourcesp. 116
Referencesp. 117
Empirical Exercisesp. 119
Nonnormal Distributionsp. 121
Chapter Overviewp. 121
Learning Objectivesp. 121
Visualizing Nonnormality Using QQ Plotsp. 123
The Filtered Historical Simulation Approachp. 125
The Cornish-Fisher Approximation to VaRp. 126
The Standardized t Distributionp. 128
The Asymmetric t Distributionp. 133
Extreme Value Theory (EVT)p. 137
Summaryp. 143
ES for the Symmetric and Asymmetric t Distributionsp. 144
Cornish-Fisher ESp. 145
Extreme Value Theory ESp. 146
Further Resourcesp. 147
Referencesp. 147
Empirical Exercisesp. 149
Multivariate Risk Modelsp. 151
Covariance and Correlation Modelsp. 153
Chapter Overviewp. 153
Portfolio Variance and Covariancep. 154
Dynamic Conditional Correlation (DCC)p. 159
Estimating Daily Covariance from Intraday Datap. 165
Summaryp. 168
Further Resourcesp. 169
Referencesp. 170
Empirical Exercisesp. 171
Simulating the Term Structure of Riskp. 173
Chapter Overviewp. 173
The Risk Term Structure in Univariate Modelsp. 174
The Risk Term Structure with Constant Correlationsp. 182
The Risk Term Structure with Dynamic Correlationsp. 186
Summaryp. 189
Further Resourcesp. 189
Referencesp. 190
Empirical Exercisesp. 191
Distributions and Copulas for Integrated Risk Managementp. 193
Chapter Overviewp. 193
Threshold Correlationsp. 194
Multivariate Distributionsp. 195
The Copula Modeling Approachp. 203
Risk Management Using Copula Modelsp. 210
Summaryp. 213
Further Resourcesp. 213
Referencesp. 214
Empirical Exercisesp. 215
Further Topics in Risk Managementp. 217
Option Pricingp. 219
Chapter Overviewp. 219
Basic Definitionsp. 220
Option Pricing Using Binomial Treesp. 222
Option Pricing under the Normal Distributionp. 230
Allowing for Skewness and Kurtosisp. 235
Allowing for Dynamic Volatilityp. 239
Implied Volatility Function (IVF) Modelsp. 244
Summaryp. 245
Appendix: The CFG Option Pricing Formulap. 245
Further Resourcesp. 247
Referencesp. 248
Empirical Exercisesp. 249
Option Risk Managementp. 251
Chapter Overviewp. 251
The Option Deltap. 252
Portfolio Risk Using Deltap. 257
The Option Gammap. 259
Portfolio Risk Using Gammap. 261
Portfolio Risk Using Full Valuationp. 265
A Simple Examplep. 267
Pitfall in the Delta and Gamma Approachesp. 271
Summaryp. 273
Further Resourcesp. 273
Referencesp. 274
Empirical Exercisesp. 275
Credit Risk Managementp. 277
Chapter Overviewp. 277
A Brief History of Corporate Defaultsp. 278
Modeling Corporate Defaultp. 280
Portfolio Credit Riskp. 284
Other Aspects of Credit Riskp. 290
Summaryp. 295
Further Resourcesp. 295
Referencesp. 296
Empirical Exercisesp. 297
Backtesting and Stress Testingp. 299
Chapter Overviewp. 299
Backtesting VaRsp. 301
Increasing the Information Setp. 307
Backtesting Expected Shortfallp. 308
Backtesting the Entire Distributionp. 309
Stress Testingp. 312
Summaryp. 316
Further Resourcesp. 317
Referencesp. 318
Empirical Exercisesp. 319
Indexp. 321
Table of Contents provided by Ingram. All Rights Reserved.

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