Elements of Financial Risk Management

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  • Publisher : Academic Press
  • Release : 13 August 2022
  • ISBN : 9780123744487
  • Page : 326 pages
  • Rating : 4.5/5 from 103 voters

Elements of Financial Risk Management Book PDF 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 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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Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter F. Christoffersen
  • Publisher : Academic Press
  • Release Date : 2012
  • ISBN : 9780123744487
DOWNLOAD BOOKElements of Financial Risk Management

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,

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter Christoffersen
  • Publisher : Academic Press
  • Release Date : 2011-11-10
  • ISBN : 9780080922430
DOWNLOAD BOOKElements of Financial Risk Management

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. Five new chapters and updated end-of-chapter questions and exercises,

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter Christoffersen
  • Publisher : Academic Press
  • Release Date : 2003-08-05
  • ISBN : 0121742326
DOWNLOAD BOOKElements of Financial Risk Management

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 "

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter F. Christoffersen
  • Publisher : Unknown
  • Release Date : 2003
  • ISBN : 0121742334
DOWNLOAD BOOKElements of Financial Risk Management

Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. More than 80 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.

Handbook of Financial Risk Management

Handbook of Financial Risk Management
  • Author : Thierry Roncalli
  • Publisher : CRC Press
  • Release Date : 2020-04-23
  • ISBN : 9781351385220
DOWNLOAD BOOKHandbook of Financial Risk Management

Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with

The Known, the Unknown, and the Unknowable in Financial Risk Management

The Known, the Unknown, and the Unknowable in Financial Risk Management
  • Author : Francis X. Diebold,Neil A. Doherty,Richard J. Herring
  • Publisher : Princeton University Press
  • Release Date : 2010-05-09
  • ISBN : 9780691128832
DOWNLOAD BOOKThe Known, the Unknown, and the Unknowable in Financial Risk Management

A clear understanding of what we know, don't know, and can't know should guide any reasonable approach to managing financial risk, yet the most widely used measure in finance today--Value at Risk, or VaR--reduces these risks to a single number, creating a false sense of security among risk managers, executives, and regulators. This book introduces a more realistic and holistic framework called KuU --the K nown, the u nknown, and the U nknowable--that enables one to conceptualize the different kinds

Elements of Financial Risk Management

Elements of Financial Risk Management
  • Author : Peter Christoffersen
  • Publisher : Academic Press
  • Release Date : 2019-04-15
  • ISBN : 0128150068
DOWNLOAD BOOKElements of Financial Risk Management

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 comprehensive coverage of most market-risk related topics. More a financial econometrics book than a financial risk management book, it shows how to apply tools developed in financial econometrics to risk

Financial Risk Forecasting

Financial Risk Forecasting
  • Author : Jon Danielsson
  • Publisher : John Wiley & Sons
  • Release Date : 2011-04-20
  • ISBN : 9781119977117
DOWNLOAD BOOKFinancial Risk Forecasting

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear

Volatility and Correlation

Volatility and Correlation
  • Author : Riccardo Rebonato
  • Publisher : John Wiley & Sons
  • Release Date : 2005-07-08
  • ISBN : 9780470091401
DOWNLOAD BOOKVolatility and Correlation

In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to

Measuring Market Risk

Measuring Market Risk
  • Author : Kevin Dowd
  • Publisher : John Wiley & Sons
  • Release Date : 2007-01-11
  • ISBN : 9780470016510
DOWNLOAD BOOKMeasuring Market Risk

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.

Portfolio Risk Analysis

Portfolio Risk Analysis
  • Author : Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk
  • Publisher : Princeton University Press
  • Release Date : 2010-03-15
  • ISBN : 9781400835294
DOWNLOAD BOOKPortfolio Risk Analysis

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the

Elements of Financial Risk Management, 2nd Edition

Elements of Financial Risk Management, 2nd Edition
  • Author : Peter Christoffersen
  • Publisher : Unknown
  • Release Date : 2011
  • ISBN : OCLC:1103552924
DOWNLOAD BOOKElements of Financial Risk Management, 2nd Edition

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. Five new chapters and updated end-of-chapter questions and exercises,

Financial Risk Management

Financial Risk Management
  • Author : Allan M. Malz
  • Publisher : John Wiley & Sons
  • Release Date : 2011-09-13
  • ISBN : 9781118022917
DOWNLOAD BOOKFinancial Risk Management

Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard

The Risks of Financial Institutions

The Risks of Financial Institutions
  • Author : Mark Carey,René M. Stulz
  • Publisher : University of Chicago Press
  • Release Date : 2007-11-01
  • ISBN : 9780226092980
DOWNLOAD BOOKThe Risks of Financial Institutions

Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks.

Backtesting Value at Risk and Expected Shortfall

Backtesting Value at Risk and Expected Shortfall
  • Author : Simona Roccioletti
  • Publisher : Springer
  • Release Date : 2015-12-04
  • ISBN : 9783658119089
DOWNLOAD BOOKBacktesting Value at Risk and Expected Shortfall

In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.