Elements of Financial Risk Management （2ND）

Christoffersen, Peter

Academic Press Inc（2016/08発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 344 p.
• 言語 ENG
• 商品コード 9780128102350
• DDC分類 658.155

Full 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.

Contents

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