Slides for Financial Risk Forecasting

Slides

A comprehensive set of class tested slides is available below


This is the eight version (2023) of the slides, and there are bound to be typos and other issues. I very much appreciate any comments.

I am grateful to Olafur Arnason, Yiying Zhong, Agne Stengeryte and Athanasios Dimisioris for their fantastic assistance in making the 2015 version of the slides. Yuyang Lin gave me valuable comments on the 2022 version of the slides.

Chapter number Chapter name Download Latest update
1 Financial Markets, Prices and Risk Download Version 8.0 August 2023
2 Univariate Volatility Modeling Download Version 8.0 August 2023
3 Multivariate Volatility Models Download Version 8.0 August 2023
4 Risk Measures Download Version 8.0 August 2023
5 Implementing Risk Forecasts Download Version 8.0 August 2023
6 Analytical Value-at-Risk for Options and Bonds Download Version 8.0 August 2023
7 Simulation Methods for VaR for Options and Bonds Download Version 8.0 August 2023
8 Backtesting and Stress Testing Download Version 8.0 August 2023
9 Extreme Value Theory Download Version 1.0 August 2015
10 Endogenous Risk Download Version 8.0 August 2023
11 Market Risk Regulations Download Version 8.0 August 2023

Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
© All rights reserved, Jon Danielsson,

Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
© All rights reserved, Jon Danielsson,