Christoffersen's Elements of Financial Risk Management
A Buyside Perspective Using Excel and MATLAB
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Product details:
- Edition number 3
- Publisher Academic Press
- Date of Publication 1 September 2023
- ISBN 9780128150061
- Binding Paperback
- No. of pages400 pages
- Size 229x152 mm
- Language English 0
Categories
Long description:
Elements of Financial Risk Management focuses on the implementation of technique that help students and practitioners "bridge the gap? between standard textbooks on risk and real-life risk management systems. Without a highly sophisticated quant background, readers can understand its detailed and comprehensive coverage of most market-risk related topics. More a financial econometrics book than a financial risk management book, it shows how to apply tools developed in financial econometrics to risk management. It differs from typical risk management books by digging more deeply in the assumptions and models behind risk calculations.
- Covers both new research streams (e.g., asymmetrical t distributions) and new areas of interest for practitioners, such as external stress testing
- Includes 4 new chapters, updates every existing chapter, and expands its pedagogical elements to include MATLAB exercises
- Enables students and practitioners to grasp most concepts and techniques with limited knowledge of basic statistics and financial mathematics
Table of Contents:
Part I: The Fundamentals of Financial Risk Management 1. Risk Management and Financial Returns 2. Historical Simulation, Value-at-Risk, and Expected Shortfall 3. Time Series Analysis for Financial Risk Management 4. Back testing and Stress Testing
Part II Univariate Risk Models 5. Volatility Modeling Using Daily Data 6. Volatility Modeling Using Intraday Data 7. Non-normal Distributions
Part III Multivariate Risk Models 8. Covariance and Correlation Models 9. Simulating the Term Structure of Risk 10. Distributions and Copulas for Integrated Risk Management 11. Risk Management Using the Asymmetric t Distribution
Part IV: From Risk Management to Asset Management 12. Mean-Variance Portfolio Optimization and the Single Factor Model 13. Multifactor Models 14. Asset Management with Factor Structure
Part V Option Risk and Credit Risk 15. Option Pricing 16. Option Risk Management 17. The Risk and Return to Option Strategies 18. Credit Risk Management
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