Elements of Financial 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.

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