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

By: Contributor(s): Publication details: Amsterdam ; Boston : Academic Press, c2011.Edition: 2nd edDescription: 1 online resourceISBN:
  • 9780123744487 (ebk.)
  • 0123744482 (ebk.)
Subject(s): Genre/Form: Additional physical formats: Print version:: Elements of financial risk management.DDC classification:
  • 658.15/5 23
Online resources:
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.
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Main Collection Taylor's Library - Perpetual(TU) 658.15/5 (Browse shelf(Opens below)) 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.