Elements of Financial Risk Management by Peter Christoffersen - Outstanding book in an overcrowded field

Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems that provide VAR-like measures. Risk managers are therefore often left with the daunting task of having to choose from this plethora of risk measures.
While basic VAR textbooks describe average VAR situations, the vast majority of these situations are abnormal. 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.

*Pinpoints key features of risk asset returns and captures them in tractable statistical models in the
accompanying CD-ROM
*Presents step-by-step approaches as a means to solve problems
*Visible patterns in the data motivate the choices of tools, and when tools fall short, it presents the next tool

Outstanding book in an overcrowded field
This is *the* book on financial risk management that puts it all together. In a volume that is less than half the size of comparable titles in an overcrowded field, Christoffersen packs the most amount of insight and practical knowledge possible. The best part of the book is how he quickly and directly dives into the empirical part of risk measurement - after all, a spreadsheet with real-world data is worth a thousand formulas, and any risk manager typically deals with the real world. To me the fact that the book is not hung up on a single risk metric (VaR for example) is doubly commendable. The book is superb in its coherence and flow, and choice of topics, not to mention the lucidity of presentation. Work through each chapter and the empirical exercises, and you will probably know far more about the nature of financial risk than most practitioners. Five unreserved stars.

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