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.
| Chapter number | Chapter name | Download | Latest update |
|---|---|---|---|
| 1 | Financial Markets, Prices and Risk | Download | Version 5.0 August 2020 |
| 2 | Univariate Volatility Modeling | Download | Version 5.0 August 2020 |
| 3 | Multivariate Volatility Models | Download | Version 5.0 August 2020 |
| 4 | Risk Measures | Download | Version 5.0 August 2020 |
| 5 | Implementing Risk Forecasts | Download | Version 5.0 August 2020 |
| 6 | Analytical Value–at–Risk for Options and Bonds | Download | Version 5.0 August 2020 |
| 7 | Simulation Methods for VaR for Options and Bonds | Download | Version 5.0 August 2020 |
| 8 | Backtesting and Stress Testing | Download | Version 5.0 August 2020 |
| 9 | Extreme Value Theory | Download | Version 1.0 August 2015 |
| 10 | Endogenous Risk | Download | Version 1.0 August 2015 |