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by Peter Christoffersen
Elements of Financial Risk Management, 2nd Edition
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Table of Contents
Front Matter
Copyright
Dedication
Preface
Acknowledgments
1. Risk Management and Financial Returns
1. Chapter Outline
2. Learning Objectives
3. Risk Management and the Firm
4. A Brief Taxonomy of Risks
5. Asset Returns Definitions
6. Stylized Facts of Asset Returns
7. A Generic Model of Asset Returns
8. From Asset Prices to Portfolio Returns
9. Introducing the Value-at-Risk (VaR) Risk Measure
10. Overview of the Book
Appendix. Return VaR and $VaR
2. Historical Simulation, Value-at-Risk, and Expected Shortfall
1. Chapter Overview
2. Historical Simulation
3. Weighted Historical Simulation (WHS)
4. Evidence from the 2008–2009 Crisis
5. The True Probability of Breaching the HS VaR
6. VaR with Extreme Coverage Rates
7. Expected Shortfall
8. Summary
3. A Primer on Financial Time Series Analysis
1. Chapter Overview
2. Probability Distributions and Moments
3. The Linear Model
4. Univariate Time Series Models
5. Multivariate Time Series Models
6. Summary
4. Volatility Modeling Using Daily Data
1. Chapter Overview
2. Simple Variance Forecasting
3. The GARCH Variance Model
4. Maximum Likelihood Estimation
5. Extensions to the GARCH Model
6. Variance Model Evaluation
7. Summary
Appendix A. Component GARCH and GARCH(2,2)
Appendix B. The HYGARCH Long-Memory Model
5. Volatility Modeling Using Intraday Data
1. Chapter Overview
2. Realized Variance: Four Stylized Facts
3. Forecasting Realized Variance
4. Realized Variance Construction
5. Data Issues
6. Range-Based Volatility Modeling
7. GARCH Variance Forecast Evaluation Revisited
8. Summary
6. Nonnormal Distributions
1. Chapter Overview
2. Learning Objectives
3. Visualizing Nonnormality Using QQ Plots
4. The Filtered Historical Simulation Approach
5. The Cornish-Fisher Approximation to VaR
6. The Standardized t Distribution
7. The Asymmetric t Distribution
8. Extreme Value Theory (EVT)
9. Summary
Appendix A. ES for the Symmetric and Asymmetric t Distributions
Appendix B. Cornish-Fisher ES
Appendix C. Extreme Value Theory ES
7. Covariance and Correlation Models
1. Chapter Overview
2. Portfolio Variance and Covariance
3. Dynamic Conditional Correlation (DCC)
4. Estimating Daily Covariance from Intraday Data
8. Simulating the Term Structure of Risk
1. Chapter Overview
2. The Risk Term Structure in Univariate Models
3. The Risk Term Structure with Constant Correlations
4. The Risk Term Structure with Dynamic Correlations
5. Summary
9. Distributions and Copulas for Integrated Risk Management
1. Chapter Overview
2. Threshold Correlations
3. Multivariate Distributions
4. The Copula Modeling Approach
5. Risk Management Using Copula Models
6. Summary
10. Option Pricing
1. Chapter Overview
2. Basic Definitions
3. Option Pricing Using Binomial Trees
4. Option Pricing under the Normal Distribution
5. Allowing for Skewness and Kurtosis
6. Allowing for Dynamic Volatility
7. Implied Volatility Function (IVF) Models
8. Summary
Appendix. The CFG Option Pricing Formula
11. Option Risk Management
1. Chapter Overview
2. The Option Delta
3. Portfolio Risk Using Delta
4. The Option Gamma
5. Portfolio Risk Using Gamma
6. Portfolio Risk Using Full Valuation
7. A Simple Example
8. Pitfall in the Delta and Gamma Approaches
9. Summary
12. Credit Risk Management
1. Chapter Overview
2. A Brief History of Corporate Defaults
3. Modeling Corporate Default
4. Portfolio Credit Risk
5. Other Aspects of Credit Risk
6. Summary
13. Backtesting and Stress Testing
1. Chapter Overview
2. Backtesting VaRs
3. Increasing the Information Set
4. Backtesting Expected Shortfall
5. Backtesting the Entire Distribution
6. Stress Testing
7. Summary
Index
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