Elements of Financial Risk Management

Other | November 10, 2011

byPeter Christoffersen, Peter Christoffersen

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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. 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

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From the Publisher

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 un...

Format:OtherDimensions:344 pages, 1 × 1 × 1 inPublished:November 10, 2011Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0080922430

ISBN - 13:9780080922430

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Table of Contents

  1. 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