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Elements of financial risk management / Peter F. Christoffersen.
- Format:
- Book
- Author/Creator:
- Christoffersen, Peter F.
- Language:
- English
- Subjects (All):
- Financial risk management.
- Physical Description:
- 1 online resource (345 p.)
- Edition:
- 2nd ed.
- Place of Publication:
- Amsterdam ; Boston : Academic Press, c2012.
- Language Note:
- English
- System Details:
- text file
- 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. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step app
- Contents:
- pt. 1. Background
- pt. 2. Univariate risk models
- pt. 3. Multivariate risk models
- pt. 4. Further topics in risk management.
- Notes:
- Description based upon print version of record.
- Includes bibliographical references and index.
- ISBN:
- 9786613347695
- 9781283347693
- 1283347695
- 9780080922430
- 0080922430
- OCLC:
- 767502591
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