Christoffersen's Elements of Financial Risk Management A Buyside Perspective Using Excel and MATLAB

Elements of Financial Risk Management focuses on the implementation of technique 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 management. It differs from typical risk management books by digging more deeply in the assumptions and models behind risk calculations.

Part I: The Fundamentals of Financial Risk Management 1. Risk Management and Financial Returns 2. Historical Simulation, Value-at-Risk, and Expected Shortfall 3. Time Series Analysis for Financial Risk Management 4. Back testing and Stress Testing

Part II Univariate Risk Models 5. Volatility Modeling Using Daily Data 6. Volatility Modeling Using Intraday Data 7. Non-normal Distributions

Part III Multivariate Risk Models 8. Covariance and Correlation Models 9. Simulating the Term Structure of Risk 10. Distributions and Copulas for Integrated Risk Management 11. Risk Management Using the Asymmetric t Distribution

Part IV: From Risk Management to Asset Management 12. Mean-Variance Portfolio Optimization and the Single Factor Model 13. Multifactor Models 14. Asset Management with Factor Structure

Part V Option Risk and Credit Risk 15. Option Pricing 16. Option Risk Management 17. The Risk and Return to Option Strategies 18. Credit Risk Management

Peter Christoffersen is the TMX Chair in Capital Markets and a Fellow of the Bank of Canada. He publishes in empirical asset pricing and financial econometrics and is the author of Elements of Financial Risk Management. He serves as an Associate Editor of the Journal of Derivatives. Peter has won research awards from AIMA Canada and the Q-Group. He previously taught at McGill University and worked at the IMF.