Elements of Financial Risk Management - Rilegato

Christoffersen, Peter F.

Rilegato

ISBN 10: 0121742326 ISBN 13: 9780121742324

Casa editrice: Academic Pr, 2003

Riassunto

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.

*Pinpoints key features of risk asset returns and captures them in tractable statistical models in the companion website *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

Su questo libro

Informazioni sull?autore

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.

Dalla quarta di copertina

"Christoffersen offers a very readable, one-of-a-kind introduction to modern risk management and associated techniques for volatility and correlation modeling. The book strikes an excellent balance between mathematical rigor and intuition, and I would highly recommend it to any student or finance practitioner interested in learning about the latest and most important new developments in the field. This is a winner."
- Tim Bollerslev, Duke University, Durham, North Carolina

"A very useful risk management book, emphasizing the statistical modeling of market risk."
- Philippe Jorion, University of California, Irvine

"This is a book I and dozens of others wanted to write, and a book everyone in financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future an instant classic."
- Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania


'Elements of Financial Risk Management' pinpoints key features of risk asset returns and captures them in tractable statistical models. Written for those who measure and manage risks, Christoffersen explores various types of market risk as well as the construction of conditional densities for simple assets, simulation based methods in risk management, option pricing and hedging, and risk model evaluation and comparison.

Pedagogically effective, it presents step-by-step approaches as a means to solve problems. Visible patters in the data motivate the choices of tools, and when tools fall short, it presents the next tool. This unique approach bridges the gap between theory and practice.


About the Author:
Peter Christoffersen is a finance professor at McGill University, Montreal, Quebec, Canada and a Fellow of CIRANO.|"Christoffersen offers a very readable, one-of-a-kind introduction to modern risk management and associated techniques for volatility and correlation modeling. The book strikes an excellent balance between mathematical rigor and intuition, and I would highly recommend it to any student or finance practitioner interested in learning about the latest and most important new developments in the field. This is a winner."
- Tim Bollerslev, Duke University, Durham, North Carolina

"A very useful risk management book, emphasizing the statistical modeling of market risk."
- Philippe Jorion, University of California, Irvine

"This is a book I and dozens of others wanted to write, and a book everyone in financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future an instant classic."
- Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania


'Elements of Financial Risk Management' pinpoints key features of risk asset returns and captures them in tractable statistical models. Written for those who measure and manage risks, Christoffersen explores various types of market risk as well as the construction of conditional densities for simple assets, simulation based methods in risk management, option pricing and hedging, and risk model evaluation and comparison.

Pedagogically effective, it presents step-by-step approaches as a means to solve problems. Visible patters in the data motivate the choices of tools, and when tools fall short, it presents the next tool. This unique approach bridges the gap between theory and practice.


About the Author:
Peter Christoffersen is a finance professor at McGill University, Montreal, Quebec, Canada and a Fellow of CIRANO.

Dettagli dell'edizione

• Editore: Academic Pr
• Data di pubblicazione: 2003
• Lingua: Inglese
• ISBN 10: 0121742326
• ISBN 13: 9780121742324
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 214
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile