Elements of Financial Risk Management

Written By Peter F. Christoffersen
Elements of Financial Risk Management
  • Publsiher : Academic Press
  • Release : 17 September 2021
  • ISBN : 0123744482
  • Pages : 326 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Elements of Financial Risk Management written by Peter F. Christoffersen which was release on 17 September 2021, this book published by Academic Press. Available in PDF, EPUB and Kindle Format. Book excerpt: 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. Four new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual and PowerPoint slides, 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

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter F. Christoffersen
  • Publisher : Academic Press
  • Release Date : 2012
  • Total pages : 326
  • ISBN : 0123744482
GET BOOK

Summary : 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 ...

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter Christoffersen
  • Publisher : Academic Press
  • Release Date : 2011-11-10
  • Total pages : 344
  • ISBN : 0123744482
GET BOOK

Summary : 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 ...

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter Christoffersen
  • Publisher : Academic Press
  • Release Date : 2003-08-05
  • Total pages : 214
  • ISBN : 0123744482
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Summary : Elements of Financial Risk Management offers an introduction to modern risk management. It focuses on implementation, especially recent techniques which facilitate bridging the gap between standard textbooks on risk and real-life risk management systems. It identifies key features of risk asset returns and captures them in tractable statistical models in ...

Elements of Financial Risk Management 2nd Edition

Elements of Financial Risk Management  2nd Edition
  • Author : Peter Christoffersen
  • Publisher : Unknown
  • Release Date : 2011
  • Total pages : 344
  • ISBN : 0123744482
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Summary : 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 ...

Model Risk in Financial Markets

Model Risk in Financial Markets
  • Author : Radu Tunaru
  • Publisher : World Scientific
  • Release Date : 2015-06-08
  • Total pages : 384
  • ISBN : 0123744482
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Summary : The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by ...

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter Christoffersen
  • Publisher : Academic Press
  • Release Date : 2019-04-15
  • Total pages : 400
  • ISBN : 0123744482
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Summary : Elements of Financial Risk Management: A Buyside Perspective Using Excel and MATLAB, Third Edition focuses on the implementation of techniques 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 ...

Extreme Events in Finance

Extreme Events in Finance
  • Author : Francois Longin
  • Publisher : John Wiley & Sons
  • Release Date : 2016-10-17
  • Total pages : 640
  • ISBN : 0123744482
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Summary : A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) ...

Handbook of the Economics of Finance

Handbook of the Economics of Finance
  • Author : George M. Constantinides,Milton Harris,Rene M. Stulz
  • Publisher : Newnes
  • Release Date : 2013-02-08
  • Total pages : 872
  • ISBN : 0123744482
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Summary : The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and ...

Essential Mathematics for Market Risk Management

Essential Mathematics for Market Risk Management
  • Author : Simon Hubbert
  • Publisher : John Wiley & Sons
  • Release Date : 2011-12-12
  • Total pages : 416
  • ISBN : 0123744482
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Summary : Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can ...

The importance of being informed Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades

The importance of being informed  Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades
  • Author : Dean Fantazzini,Tamara Shangina
  • Publisher : Litres
  • Release Date : 2019-11-13
  • Total pages : 212
  • ISBN : 0123744482
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Summary : This paper focuses on the forecasting of market risk measures for the Russian RTS index future, and examines whether augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the estimated risk measures. We considered a time sample of daily data from 2006 ...

Multivariate GARCH and Dynamic Copula Models for Financial Time Series

Multivariate GARCH and Dynamic Copula Models for Financial Time Series
  • Author : Martin Grziska
  • Publisher : Pro BUSINESS
  • Release Date : 2015-02-05
  • Total pages : 189
  • ISBN : 0123744482
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Summary : This thesis presents several non-parametric and parametric models for estimating dynamic dependence between financial time series and evaluates their ability to precisely estimate risk measures. Furthermore, the different dependence models are used to analyze the integration of emerging markets into the world economy. In order to analyze numerous dependence structures ...

Corporate Risk Management

Corporate Risk Management
  • Author : Georges Dionne
  • Publisher : Wiley
  • Release Date : 2019-04-30
  • Total pages : 416
  • ISBN : 0123744482
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Summary : An updated review of the theories and applications of corporate risk management After the financial crisis of 2008, issues concerning corporate risk management arose that demand new levels of oversight. Corporate Risk Management is an important guide to the topic that puts the focus on the corporate finance dimension of risk ...

Market Risk Analysis Value at Risk Models

Market Risk Analysis  Value at Risk Models
  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release Date : 2009-01-15
  • Total pages : 492
  • ISBN : 0123744482
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Summary : Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge ...

Modelling and Forecasting High Frequency Financial Data

Modelling and Forecasting High Frequency Financial Data
  • Author : Stavros Degiannakis,Christos Floros
  • Publisher : Springer
  • Release Date : 2016-04-29
  • Total pages : 278
  • ISBN : 0123744482
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Summary : The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide ...

Value at Risk and Bank Capital Management

Value at Risk and Bank Capital Management
  • Author : Francesco Saita
  • Publisher : Elsevier
  • Release Date : 2010-07-26
  • Total pages : 280
  • ISBN : 0123744482
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Summary : Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR ...