Figure 1.3 Financial risk forecasting errata

Figure 1.3

October 18, 2022

My FM442 student Jingxuan Chen pointed out that the reference in the first line of the second paragraph on page 10 is not quite correct. It says Figure 1.1 but refers to Figure 1.3 on the same page.

Tail index in dependent data
Typo in equation for ES for the normal

Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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