Elements of financial risk management

By:

Christoffersen, Peter F

Material type: Text

TextPublication details: 2003 Academic Press San DiegoDescription: xiii, 214p. 23 cm ; Hard BoundISBN:

978-0121742324

Subject(s):

Risk Management Financial risk management Finance

DDC classification:

332,645 CHR

Contents:

1. Risk Management and Financial Returns 2. Volatility Forecasting 3. Correlation Modeling 4. Modeling the Conditional Distribution 5. Simulation-Based Methods 6. Option Pricing 7. Modeling Option Risk 8. Backtesting and Stress Testing

Summary: 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. 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. *Pinpoints key features of risk asset returns and captures them in tractable statistical models in the accompanying CD-ROM *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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.645 CHR (Browse shelf(Opens below))	Available		37993

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Rs.3807/-

1. Risk Management and Financial Returns
2. Volatility Forecasting
3. Correlation Modeling
4. Modeling the Conditional Distribution
5. Simulation-Based Methods
6. Option Pricing
7. Modeling Option Risk
8. Backtesting and Stress Testing

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. 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. *Pinpoints key features of risk asset returns and captures them in tractable statistical models in the accompanying CD-ROM *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.

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