Overview
Peter F. Christoffersen is a financial econometrician at McGill University's Faculty of Management (later University of Toronto Rotman School of Management). His research focuses on financial risk measurement, option valuation with time-varying volatility, and the evaluation of VaR models.
Key Contributions
- Andersen-Bollerslev-Christoffersen-Diebold (2004): Co-authored the practical risk management survey; contributed sections on distributional modeling and VaR evaluation including filtered historical simulation.
- Christoffersen (2003): Elements of Financial Risk Management textbook — standard reference for practitioner-oriented GARCH-based risk measurement.
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