Elements of Financial Risk Management

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

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.

Inhaltsverzeichnis

Part I: BackgroundRisk Management and Financial Returns
The Dangers of VaR and Historical Simulation
A Primer on Financial Econometrics. NEW Part 2: Portfolio Level Risk ModelsVolatility Modeling using Daily Returns
Volatility Modeling using Intraday Returns. NEW
Modeling the Conditional Distribution Part 3: Asset Level Risk ModelsCorrelation Modeling
Copula Models and Integrated Risk Management. NEW
Simulating the Term Structure of Risk Part 4: Further TopicsOption Pricing
Option Risk Management
CDS Pricing and Credit Risk Management. NEW
Backtesting and Stress Testing

Details

Erscheinungsjahr:	2016
Fachbereich:	Einzelne Wirtschaftszweige
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	Einband - fest (Hardcover)
ISBN-13:	9780128102350
ISBN-10:	0128102357
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Christoffersen, Peter
Auflage:	2. Auflage
Hersteller:	Elsevier Inc
Verantwortliche Person für die EU:	Zeitfracht Medien GmbH, Ferdinand-Jühlke-Str. 7, D-99095 Erfurt, produktsicherheit@zeitfracht.de
Maße:	229 x 152 x 18 mm
Von/Mit:	Peter Christoffersen
Erscheinungsdatum:	02.09.2016
Gewicht:	0,462 kg