All the code from the book can be downloaded here. There is one page per chapter. For documentation on each piece of code, please consult the book.
Each piece of code is labeled by the last date it got updated. If the date is 25/02/11 then it is identical to the book. If it is more recent, some bug fix or improvement has been implemented.
Some of the book code, especially that implementing GARCH reflects the state of the available libraries in 2011. All code was verified in August 2016 to run on Matlab 2016a and R 3.3.0.
If anybody suggests alternative implementations to what is here we would be happy to include a link.
Any bug fixes are more than welcome.
Chapter 1. Financial Markets, Prices and Risk
Chapter 2. Univariate Volatility Modeling
Chapter 3. Multivariate Volatility Models
Chapter 4. Risk Measures
Chapter 5. Implementing Risk Forecasts
Chapter 6. Analytical Value–at–Risk for Options and Bonds
Chapter 7. Simulation Methods for VaR for Options and Bonds
Chapter 8. Backtesting and Stress Testing
Chapter 9. Extreme Value Theory
Chapter B. An Introduction to R
Chapter C. An Introduction to Matlab
Financial Risk Forecasting
Copyright (C) 2011, 2016 Jon Danielsson. All Rights Reserved.