Elements of Financial Risk Management

Name: Elements of Financial Risk Management
Price: 49.51 USD
Availability: InStock
ISBN: 9780123744487

ISBN-10: 0123744482

ISBN-13: 9780123744487

Edition: 2nd 2012

Authors: Peter Christoffersen

List price: $69.95

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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. 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…

Book details

List price: $69.95
Edition: 2nd
Copyright year: 2012
Publisher: Elsevier Science & Technology
Publication date: 12/10/2011
Binding: Hardcover
Pages: 344
Size: 5.94" wide x 9.00" long x 0.75" tall
Weight: 1.298
Language: English



Preface


Acknowledgments



Background



Risk Management and Financial Returns



Chapter Outline



Learning Objectives



Risk Management and the Firm



A Brief Taxonomy of Risks



Asset Returns Definitions



Stylized Facts of Asset Returns



A Generic Model of Asset Returns



From Asset Returns to Portfolio Returns



Introducing the Value-at-Risk (VaR) Risk Measure



Overview of the Book


Appendix: Return VaR and $VaR


Further Resources


References


Empirical Exercises



Historical Simulation, Value at Risk, and Expected Shortfall



Chapter Overview



Historical Simulation



Weighted Historical Simulation (WHS)



Evidence from the 2008-2009 Crisis



The True Probability of Breaching the HS VaR



VaR with Extreme Coverage Rates



Expected Shortfall



Summary


Further Resources


References


Empirical Exercises



A Primer on Financial Time Series Analysis



Chapter Overview



Probability Distributions and Moments



The Linear Model



Univariate Time Series Models



Multivariate Time Series Models



Summary


Further Resources


References


Empirical Exercises



Univariate Risk Models



Volatility Modeling Using Daily Data



Chapter Overview



Simple Variance Forecasting



The GARCH Variance Model



Maximum Likelihood Estimation



Extensions to the GARCH Model



Variance Model Evaluation



Summary



Component GARCH and GARCH(2,2)



The HYGARCH Long-Memory Model


Further Resources


References


Empirical Exercises



Volatility Modeling Using Intraday Data



Chapter Overview



Realized Variance: Four Stylized Facts



Forecasting Realized Variance



Realized Variance Construction



Data Issues



Range-based Volatility Modeling



GARCH Variance Forecast Evaluation Revisited



Summary


Further Resources


References


Empirical Exercises



Nonnormal Distributions



Chapter Overview



Learning Objectives



Visualizing Nonnormality Using QQ Plots



The Filtered Historical Simulation Approach



The Cornish-Fisher Approximation to VaR



The Standardized t Distribution



The Asymmetric t Distribution



Extreme Value Theory (EVT)



Summary



ES for the Symmetric and Asymmetric t Distributions



Cornish-Fisher ES



Extreme Value Theory ES


Further Resources


References


Empirical Exercises



Multivariate Risk Models



Covariance and Correlation Models



Chapter Overview



Portfolio Variance and Covariance



Dynamic Conditional Correlation (DCC)



Estimating Daily Covariance from Intraday Data



Summary


Further Resources


References


Empirical Exercises



Simulating the Term Structure of Risk



Chapter Overview



The Risk Term Structure in Univariate Models



The Risk Term Structure with Constant Correlations



The Risk Term Structure with Dynamic Correlations



Summary


Further Resources


References


Empirical Exercises



Distributions and Copulas for Integrated Risk Management



Chapter Overview



Threshold Correlations



Multivariate Distributions



The Copula Modeling Approach



Risk Management Using Copula Models



Summary


Further Resources


References


Empirical Exercises



Further Topics in Risk Management



Option Pricing



Chapter Overview



Basic Definitions



Option Pricing Using Binomial Trees



Option Pricing under the Normal Distribution



Allowing for Skewness and Kurtosis



Allowing for Dynamic Volatility



Implied Volatility Function (IVF) Models



Summary


Appendix: The CFG Option Pricing Formula


Further Resources


References


Empirical Exercises



Option Risk Management



Chapter Overview



The Option Delta



Portfolio Risk Using Delta



The Option Gamma



Portfolio Risk Using Gamma



Portfolio Risk Using Full Valuation



A Simple Example



Pitfall in the Delta and Gamma Approaches



Summary


Further Resources


References


Empirical Exercises



Credit Risk Management



Chapter Overview



A Brief History of Corporate Defaults



Modeling Corporate Default



Portfolio Credit Risk



Other Aspects of Credit Risk



Summary


Further Resources


References


Empirical Exercises



Backtesting and Stress Testing



Chapter Overview



Backtesting VaRs



Increasing the Information Set



Backtesting Expected Shortfall



Backtesting the Entire Distribution



Stress Testing



Summary


Further Resources


References


Empirical Exercises


Index