Peter Christoffersen

Peter Christoffersen was a finance professor at the Rotman School of Management at the University of Toronto who developed the conditional coverage test for evaluating whether VaR models are correctly calibrated — now the industry standard for risk model backtesting. His research spans option pricing, variance forecasting, and risk model validation. His textbook "Elements of Financial Risk Management" became a standard reference for financial risk management courses. Christoffersen passed away in 2018, leaving a significant legacy in quantitative risk measurement methodology. His work on regime-switching models for financial volatility and on the realized variance approach to options pricing contributed important tools for practitioners seeking to measure and hedge dynamic risk in equity and fixed income derivatives markets.