A comprehensive set of class tested slides is available below


This is the seventh version (2022) 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 7.3 October 2022
2 Univariate Volatility Modeling Download Version 7.4 October 2022
3 Multivariate Volatility Models Download Version 7.3 October 2022
4 Risk Measures Download Version 7.0 August 2022
5 Implementing Risk Forecasts Download Version 7.2 November 2022
6 Analytical Value–at–Risk for Options and Bonds Download Version 7.0 August 2022
7 Simulation Methods for VaR for Options and Bonds Download Version 7.1 November 2022
8 Backtesting and Stress Testing Download Version 7.1 November 2022
9 Extreme Value Theory Download Version 1.0 August 2015
10 Endogenous Risk Download Version 7.0 August 2022
11 Market Risk Regulations Download Version 7.1 September 2022