Peter Christoffersen
Professor of FinanceTMX Chair in Capital MarketsBank of Canada Fellow at Rotman School of Management
, at CBS Executive
Biography
Rotman School of Management
Bio
Peter Christoffersen is the TMX Chair in Capital Markets and a Fellow of the Bank of Canada. He publishes in empirical asset pricing and financial econometrics and is the author of Elements of Financial Risk Management. He serves as an Associate Editor of the Journal of Derivatives. Peter has won research awards from AIMA Canada and the Q-Group. He previously taught at McGill University and worked at the IMF. You can find him on the web at: www.christoffersen.com.
Academic Positions
2015- TMX Chair in Capital Markets; University of Toronto
2010- Professor of Finance; Rotman School, University of Toronto
2009- Visiting Professor; Copenhagen Business School
2004-2010 Associate Professor of Finance; McGill University
1998-2004 Assistant Professor of Finance; McGill University
Honors and Awards
2014 Best Paper on Asset Management; AIMA Canada
2015 Chair in Capital Markets; TMX
2013-2018 Fellowship; Bank of Canada
2017 Roger Martin Excellence in Research Award; Rotman School
CBS Executive
Presentation
Primary research areas:
- Derivatives
- Risk Management
Peter Christoffersen is the TMX Chair in Capital Markets at the Rotman School, a fellow of Bank of Canada, and a visiting professor at CBS. He has published on derivatives and risk management in leading finance and econometrics journals and is the author of Elements of Financial Risk Management. He currently serves as an Associate Editor of Review of Finance and formerly of the Review of Financial Studies. Peter has won research awards from AIMA Canada and the Q-Group. Peter formerly taught at McGill University and worked as an Economist at the IMF. You can find out more about him at: christoffersen.com and about his research at:ssrn.com.
Publications:
- Does Realized Skewness Predict the Cross-Section of Equity Returns?; D. Amaya, P. Christoffersen, K. Jacobs, and A. Vasquez; Journal of Financial Economics; Issue: 118; 2015; Pages: 135-167
- Market Skewness Risk and the Cross Section of Stock Returns; B. Chang, P. Christoffersen, and K. Jacobs; Journal of Financial Economics; Issue: 107; 2013; Pages: 46-68
- Capturing Option Anomalies with a Variance Dependent Pricing Kernel; P. Christoffersen, S. Heston, and K. Jacobs; Review of Financial Studies; Issue: 26; 2013; Pages: 1963-2006
- Is the Potential for International Diversification Disappearing?; P. Christoffersen, V. Errunza, H. Langlois, and K. Jacobs; Review of Financial Studies; Issue: 25; 2012; Pages: 3711-3751
Presentation
Primary research areas
: - Derivatives - Risk Management
Peter Christoffersen is the TMX Chair in Capital Markets at the Rotman School, a fellow of Bank of Canada, and a visiting professor at CBS. He has published on derivatives and risk management in leading finance and econometrics journals and is the author of Elements of Financial Risk Management. He currently serves as an Associate Editor of Review of Finance and formerly of the Review of Financial Studies. Peter has won research awards from AIMA Canada and the Q-Group. Peter formerly taught at McGill University and worked as an Economist at the IMF. You can find out more about him at: christoffersen.com and about his research at:ssrn.com.
Publications:
- Does Realized Skewness Predict the Cross-Section of Equity Returns?; D. Amaya, P. Christoffersen, K. Jacobs, and A. Vasquez; Journal of Financial Economics; Issue: 118; 2015; Pages: 135-167
- Market Skewness Risk and the Cross Section of Stock Returns; B. Chang, P. Christoffersen, and K. Jacobs; Journal of Financial Economics; Issue: 107; 2013; Pages: 46-68
- Capturing Option Anomalies with a Variance Dependent Pricing Kernel; P. Christoffersen, S. Heston, and K. Jacobs; Review of Financial Studies; Issue: 26; 2013; Pages: 1963-2006
- Is the Potential for International Diversification Disappearing?; P. Christoffersen, V. Errunza, H. Langlois, and K. Jacobs; Review of Financial Studies; Issue: 25; 2012; Pages: 3711-3751
Videos
Options Research: Peter Christoffersen
Read about executive education
Books
Elements of Financial Risk Management; P. Christoffersen; Academic Press; Issue: 2nd Edition; 2011
Papers
- Elements of Financial Risk Management; P. Christoffersen; Academic Press; Issue: 2nd Edition; 2011
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