Since 1998 Peter Christoffersen has been a finance professor at McGill University, where he teaches option pricing and financial risk management. Prior to joining McGill, he worked as an economist at the International Monetary Fund (IMF) doing research and surveillance work on emerging markets including Poland and Thailand.

In his doctoral dissertation, Christoffersen developed a framework for backesting Value-at-Risk (VaR) forecasts. While at the IMF, he did empirical work on options prices and exchange rate models, and established a methodology for measuring the risk of interest arbitrage in emerging market basket currencies. His current research projects include VaR backtesting, GARCH option pricing and estimation risk measurement.