Tim Bollerslev
Duke University
Book Recommendations:
Recommended by Tim Bollerslev
“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.” (from Amazon)
by Peter Christoffersen·You?
by Peter Christoffersen·You?
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