Elements of Financial Risk Management

by Peter F. Christoffersen

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.

344 pages, Hardcover

First published January 1, 2003

Reviews

[Ivan · Rating 5 out of 5]

Elements of Financial Risk Management is the only financial risk book I read which is practical, useful and with enough mathematical proofs to support the contents. Highly recommended for all levels of risk managers.

[Milos · Rating 4 out of 5]

Overall, this is a good book. It has it's strengths and weaknesses.
The chapters that are more on econometric side of QF are marvelous, unique and hardly ever to be presented in such a clear and practical way elsewhere.
This book biggest weaknesses, chapters on Options and credit risk are more of a short expositions that give you a glimpse than a in dept read from which you can a actually grasp the concepts. However, author himself does acknowledges this fact, and further states that the whole book could be written for every of two previously mentioned concepts. And to be honest, I believe they do succeed to build an intuition at least.
Excel exercises are a great way to check your understanding of the concepts and build even further on. I would treasure expanding on these with, perhaps some VBA, in the future editions of the book but unfortunately we will be short on that since the author died from terminal illness.
Great intro to risk management, highly recommended read.

[Jian Du · Rating 5 out of 5]

A good introduction book for financial risk management

[Juan Hinojosa · Rating 4 out of 5]

Really good text book. The author found the way to express complicated risk management models in a simple and concise maner. Goes straight to the point and avoid any extra information without missing the idea. I appreciate that, a lot.