Elements Of Financial Risk Management
by Peter Christoffersen /
2003 / English / PDF
4.7 MB Download
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.
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.
While basic VAR textbooks describe average VAR situations, the vast
majority of these situations are abnormal.Elements of Financial
Risk Management
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.
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
*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
