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 7.0 August 2022 |
2 | Univariate Volatility Modeling | Download | Version 7.0 August 2022 |
3 | Multivariate Volatility Models | Download | Version 7.0 August 2022 |
4 | Risk Measures | Download | Version 7.0 August 2022 |
5 | Implementing Risk Forecasts | Download | Version 7.0 August 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 7.0 August 2022 |
8 | Backtesting and Stress Testing | Download | Version 7.0 August 2022 |
9 | Extreme Value Theory | Download | Version 1.0 August 2015 |
10 | Endogenous Risk | Download | Version 7.0 August 2022 |
10 | Regulations | Download | Version 7.0 August 2022 |