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Elements of financial risk management

紀錄類型:	書目-電子資源 : 單行本
正題名/作者:	Elements of financial risk management/ Peter Christoffersen.
作者:	Christoffersen, Peter F.
出版者:	Amsterdam ;Academic Press, : c2012.,
面頁冊數:	1 online resource.
標題:	Financial risk management. -
電子資源:	http://www.sciencedirect.com/science/book/9780123744487
ISBN:	9780123744487 (electronic bk.)

Elements of financial risk management
Christoffersen, Peter F.

Elements of financial risk management[electronic resource] /Peter Christoffersen. - 2nd ed. - Amsterdam ;Academic Press,c2012. - 1 online resource.

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.

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.

ISBN: 9780123744487 (electronic bk.)

Source: 155691:155853Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

233037
Financial risk management.
Index Terms--Genre/Form:

96803
Electronic books.

LC Class. No.: HD61 / .C548 2012

Dewey Class. No.: 658.15/5

Elements of financial risk management
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505 0 $a 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.
520 $a 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.
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