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Peter F. Christoffersen

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Elements of Financial Risk Management 2nd Edition

by Peter Christoffersen (Author)

4.4 21 ratings

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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.

Examines market risk, credit risk, and operational risk
Provides exceptional coverage of GARCH models
Features online Excel-based empirical exercises

Editorial Reviews

Review

"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." --Zentralblatt Math 2012-1235.91001

"With expanded treatment of derivatives, credit risk and operational risk, Christoffersen's 2e clearly emerges as the only serious choice for modern master’s-level risk measurement and management. It is unique in having no real competition at any level: every master’s student should be trained using it, yet simultaneously, every graduate student and professor will want to read it for his/her own edification." --Francis X. Diebold, University of Pennsylvania

"Christoffersen offers a timely and very readable introduction to modern risk management techniques. The book strikes an excellent balance between mathematical rigor and intuition. It has been thoroughly updated relative to the first version published almost a decade ago to reflect all of the most important new developments in the area, including new chapters on the analysis of high-frequency intraday data, copulas, and credit risk management among others. This is a winner, destined to emerge as one of the key references in the area." --Tim Bollerslev, Duke University

"Concise yet comprehensive, this pearl of a book captures the essence of modern management of market risk in a truly unique manner. It mixes rigor, intuition, and practical applications without overwhelming the reader. It is greatly recommended to the uninitiated reader as a place to learn and for the experienced scholar looking for a quick review. An unparalleled accomplishment within the field!" --Torben G. Andersen, Northwestern University

Review

Improves upon the First Edition's rigor and intuition by adding credit and operational risk to its superior coverage of market risk

Product details

Publisher ‏ : ‎ Academic Press; 2nd edition (December 6, 2011)
Language ‏ : ‎ English
Hardcover ‏ : ‎ 344 pages
ISBN-10 ‏ : ‎ 0123744482
ISBN-13 ‏ : ‎ 978-0123744487
Item Weight ‏ : ‎ 1.28 pounds
Dimensions ‏ : ‎ 6 x 0.7 x 9.1 inches

Best Sellers Rank: #3,718,235 in Books (See Top 100 in Books)
- #376 in Banking (Books)
- #612 in Valuation (Books)
- #852 in Risk Management (Books)

Customer Reviews:
4.4 21 ratings

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4.4 out of 5

21 global ratings

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Tim Melón

Best Book on the Subject

Reviewed in the United States on May 2, 2017

Verified Purchase

Excellent treatment of market risk. Clearly written and easy to follow along, including the exercises.

One person found this helpful

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kzhang

excellent

Reviewed in the United States on March 17, 2013

Verified Purchase

it is the same as the dealer described. I am very happy to buy this. I will often go to this shop to buy things.

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Stephen Young

The author expertly balances rigor with clarity and makes even more advanced models easy to understand

Reviewed in the United States on February 11, 2018

Christoffersen's text Elements of Financial Risk Management is perhaps the clearest, most complete, and yet reasonably rigorous book on the topic of financial risk management. The author expertly balances rigor with clarity and makes even more advanced models easy to understand. The coverage is great for a relatively short text and end of chapter questions with full solutions available from a website making truly understanding the models accessible. I own the first edition and second edition and would welcome a third edition. Great text that works at the advanced undergraduate and graduate levels for those in Master's and PhD programs.

2 people found this helpful

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Zhe

It's OK

Reviewed in the United States on February 5, 2014

Verified Purchase

This book is required by my professor. It look good, and the structure is clear. However, the fomulas which should be expressed in a simple way is a little difficult for us to make sense.

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Amazon Customer

Terrible book. Errors in every chapter.

Reviewed in the United States on April 21, 2021

Verified Purchase

This is a terrible book. It is difficult to follow. The charts were meant for color but are printed in black and white so there is no way to tell the lines apart. There are errors in every chapter. The author is dead and there is no way for the errors to be corrected or updated.

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SB

A very good and practial book but lack of programming codes

Reviewed in the United States on December 7, 2022

This book is very practical even though it was published for a while already. The contents are useful for risk managers to learn how to manage portfolio market risks. For example, the VaR topics (though VaR has its own shortcomings, it is still relevant to nowadays regulatory landscape) can illustrate how to apply this technique on an equity portfolio.

I cannot give it a five star review because the examples are in Excel spreadsheet format. It is very difficult for me to debug or apply to more complex portfolios. However, I recently found a book that can solve my problems and that is why I have to rewrite my review today.

R Code Answer Book: Solutions to the Exercises in ‘Elements of Financial Risk Management 2nd Edition’ (
https://www.amazon.com/dp/B0BNZFT1FD/ ) solved all exercises by R programming. This is very valuable to me since I can just feed my data into the R code and return the results I need. Besides, R is more extensible then Excel spreadsheet.

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Paolo

Good book but poor kindle edition

Reviewed in Italy on June 30, 2020

Verified Purchase

The content is ok but mathematical formulas are impossible to read because the font is too small; you always have to use the magnifying glass and this makes reading very annoying. I wonder if there is a solution that I could not find, if not I wonder why amazon still sells kindle books with such a poor formatting.

frenemies

Five Stars

Reviewed in India on September 8, 2016

Verified Purchase

nice product....

L. Fazekas

Great book

Reviewed in the United Kingdom on March 10, 2014

Verified Purchase

Of course you don't buy this because you need a good bedtime reading but actually this is a really good book. Plus they not only describe all facets of time series analysis, GARCH, etc and risk management in a dry academic way, there are really good practical Excel based exercises (and solutions!!!) with the book.
But if you are one of the "day traders" that think you are smarter than the market because you saw a video on YouTube don't bother with this one :)