Textbook: Elements of Financial Risk Management

The second edition of my book Elements of Financial Risk Management was published in December 2011.

Please find a list of known typos here. Please send me an email (peter.christoffersen@rotman.utoronto.ca) if you find other typos.

I am using the book to teach high-level market risk electives at the bachelor and masters degree level. I have also used it in introductory PhD courses. Finally, I have used it in technical training courses for financial market practitioners.

The Excel spreadsheets with solutions to end-of-chapter questions can be found at the book’s companion website.

Please send me an email (peter.christoffersen@rotman.utoronto.ca) if you are using the book for teaching and would like a set of power point slides.

Elements of Financial Risk Management, 3rd Edition

The third edition of the book is in preparation. Please do send me suggestions for additions / deletions / changes to the second edition so that I can incorporate them in the third edition. The preliminary table of content is as follows:

Preliminary Table of Contents

Part I: The Fundamentals of Financial Risk Management

Chapter 1: A Brief Review of Probability and Statistics for Financial Risk Management

Chapter 2: Risk Management and Financial Returns

Chapter 3: Historical Simulation, Value-at-Risk, and Expected Shortfall

Chapter 4: Backtesting and Stress Testing

Part II: Dynamic Univariate Risk Models

Chapter 5: A Brief Review of Time Series Analysis for Financial Risk Management

Chapter 6: Daily Volatility Modeling Using Daily Data

Chapter 7: Daily Volatility Modeling Using Intraday Data

Chapter 8: Nonnormal Return Distributions

Part III: Dynamic Multivariate Risk Models

Chapter 9: Covariance and Correlation Models

Chapter 10: Simulating the Term Structure of Risk

Chapter 11: Distributions and Copulas for Integrated Risk Management

Chapter 12: Risk Management Using the Asymmetric t Distribution

Part IV: Portfolio Management

Chapter 13: Mean-Variance Portfolio Optimization and the Market Factor

Chapter 14: Timing the Market Factor Allocation

Chapter 15: Portfolio Management with Factor Structure

Part V: Option Risk and Credit Risk

Chapter 16: Option Pricing

Chapter 17: Option Risk Management

Chapter 18: The Risk and Return to Option Strategies

Chapter 19: Credit Risk Management


Elements of Financial Risk Management, 1st Edition

The first edition of Elements of Financial Risk Management was published in 2003.