"Christoffersen offers a very readable, one-of-a-kind introduction to modern risk management and associated techniques for volatility and correlation modeling. The book strikes an excellent balance between mathematical rigor and intuition, and I would highly recommend it to any student or finance practitioner interested in learning about the latest and most important new developments in the field. This is a winner."

- Tim Bollerslev, Duke University, Durham, North Carolina

"A very useful risk management book, emphasizing the statistical modeling of market risk."

- Philippe Jorion, University of California, Irvine

"This is a book I and dozens of others wanted to write, and a book everyone in financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future'"an instant classic."

- Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania

'Elements of Financial Risk Management' pinpoints key features of risk asset returns and captures them in tractable statistical models. Written for those who measure and manage risks, Christoffersen explores various types of market risk as well as the construction of conditional densities for simple assets, simulation based methods in risk management, option pricing and hedging, and risk model evaluation and comparison.

Pedagogically effective, it presents step-by-step approaches as a means to solve problems. Visible patters in the data motivate the choices of tools, and when tools fall short, it presents the next tool. This unique approach bridges the gap between theory and practice.

About the Author -

Peter Christoffersen is a finance professor at McGill University, Montreal, Quebec, Canada and a Fellow of CIRANO.

inance and Statistics, Department of Economics, University of Pennsylvania, U.S.A.

n financial risk management will want to read. It is rigorous yet immensely practical, unifying many threads from the past and pointing the way toward the future — an instant classic."

--Francis X. Diebold, WP Carey Professor of Economics, Professor of Finance and Statistics, Department of Economics, University of Pennsylvania, U.S.A.

choices of tools, and when tools fall short, it presents the next tool. This unique approach bridges the gap between theory and practice.

a and a Fellow of CIRANO.

Risk Management and Financial Returns; Volatility Forecasting; Correlation Modeling; Modeling the Conditional Distribution; Simulation-Based Methods; Option Pricing; Modeling Option Risk; Backtesting and Stress Testing