In Memoriam: Peter F. Christoffersen, 1967-2018

Professor Peter F. Christoffersen, Professor of Finance and TMX Chair in Capital Markets at the University of Toronto, passed away on June 22, 2018. He received his Ph.D. from Penn’s Department of Economics in 1996. At Toronto, and earlier at McGill, he emerged as a leader in empirical asset pricing, financial econometrics, and financial risk management. His many well-known contributions include “Evaluating Interval Forecasts” (International Economic Review, 1998), “Backtesting Value-at-Risk: A Duration-Based Approach” (Journal of Financial Econometrics, 2004), and “Illiquidity Premia in the Equity Options Market” (Review of Financial Studies, 2018). Professor Christoffersen advised twenty-five doctoral students and received many honors and awards. His classic 1998 paper is one of the ten most cited in the International Economic Review since its founding in 1960 by Penn Nobel laureate Lawrence R. Klein.

See also the Toronto Globe and Mail obituary, at: