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 7.4 February 2023 |
| 2 | Univariate Volatility Modeling | Download | Version 7.5 February 2023 |
| 3 | Multivariate Volatility Models | Download | Version 7.4 February 2023 |
| 4 | Risk Measures | Download | Version 7.2 February 2023 |
| 5 | Implementing Risk Forecasts | Download | Version 7.4 February 2023 |
| 6 | Analytical Value-at-Risk for Options and Bonds | Download | Version 7.2 February 2023 |
| 7 | Simulation Methods for VaR for Options and Bonds | Download | Version 7.4 February 2023 |
| 8 | Backtesting and Stress Testing | Download | Version 7.3 February 2023 |
| 9 | Extreme Value Theory | Download | Version 1.0 August 2015 |
| 10 | Endogenous Risk | Download | Version 7.1 February 2023 |
| 11 | Market Risk Regulations | Download | Version 7.2 February 2023 |