Taylor's Library

Normal view MARC view ISBD view

Elements of financial risk management [electronic resource] / Peter Christoffersen.

By: Christoffersen, Peter F.
Contributor(s): ScienceDirect (Online service).
Publisher: Amsterdam ; Boston : Academic Press, c2011Edition: 2nd ed.Description: 1 online resource.ISBN: 9780123744487 (ebk.); 0123744482 (ebk.).Subject(s): Financial risk managementGenre/Form: Electronic books.Additional physical formats: Print version:: Elements of financial risk management.DDC classification: 658.15/5 Online resources: An electronic book accessible through the World Wide Web; click for information
Contents:
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.
Item type Current location Call number Status Notes Date due Barcode
Main Collection Taylor's Library - Perpetual(TU)
658.15/5 (Browse shelf) e-book TBSxx,44001,03,CL,PPT

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.

Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2011. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on Nov. 29, 2011). Access may be restricted to users at subscribing institutions.