基本信息·出版社：Academic Press ·页码：214 页 ·出版日期：2003年07月 ·ISBN：0121742326 ·条形码：9780121742324 ·装帧：精装 ·正文语种：英语 ...
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Elements of Financial Risk Management |
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Elements of Financial Risk Management |
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基本信息·出版社：Academic Press
·页码：214 页
·出版日期：2003年07月
·ISBN：0121742326
·条形码：9780121742324
·装帧：精装
·正文语种：英语
内容简介 在线阅读本书
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 "bridging the gap" between standard textbooks on risk and real-life risk management systems. This book will appeal to practitioners in the financial services and investment industries, as well as graduate students and advanced undergraduates who want exposure to these techniques.
*Pinpoints key features of risk asset returns and captures them in tractable statistical models in the
accompanying CD-ROM
*Presents step-by-step approaches as a means to solve problems
*Visible patterns in the data motivate the choices of tools, and when tools fall short, it presents the next tool
作者简介 By Dr. Peter Christoffersen
编辑推荐 Review "...a very readable, one-of-a-kind introduction to modern risk management and associated techniques for volatility and correlation modeling. The book strikes an excellent balance between mathematical rigor and intuition, and I would highly recommend it to any student or finance practitioner interested in learning about the latest and most important new developments in the field. This is a winner."
--Tim Bollerslev, Duke University, Durham, North Carolina, U.S.A.
"This is a book I and dozens of others wanted to write, and a book everyone in financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future -- an instant classic."
--Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania, U.S.A. --
Review"Christoffersen offers a very readable, one-of-a-kind introduction to modern risk management and associated techniques for volatility and correlation modeling. The book strikes an excellent balance between mathematical rigor and intuition, and I would highly recommend it to any student or finance practitioner interested in learning about the latest and most important new developments in the field. This is a winner." --Tim Bollerslev, Duke University, Durham, North Carolina, U.S.A. "A very useful risk management book, emphasizing the statistical modeling of market risk" --Philippe Jorion, University of California, Irvine, U.S.A. "This is a book I and dozens of others wanted to write, and a book everyone in financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future -- an instant classic." --Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania, U.S.A.
Review "Christoffersen offers a very readable, one-of-a-kind introduction to modern risk management and associated techniques for volatility and correlation modeling. The book strikes an excellent balance between mathematical rigor and intuition, and I would highly recommend it to any student or finance practitioner interested in learning about the latest and most important new developments in the field. This is a winner."
--Tim Bollerslev, Duke University, Durham, North Carolina, U.S.A.
"A very useful risk management book, emphasizing the statistical modeling of market risk"
--Philippe Jorion, University of California, Irvine, U.S.A.
"This is a book I and dozens of others wanted to write, and a book everyone in financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future -- an instant classic."
--Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania, U.S.A.
