A comprehensive set of class tested slides is available below


This is the fourth version (2019) 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.

Chapter number Chapter name Download Latest update
1 Financial Markets, Prices and Risk Download Version 4.0 August 2019
2 Univariate Volatility Modeling Download Version 4.0 August 2019
3 Multivariate Volatility Models Download Version 4.0 August 2019
4 Risk Measures Download Version 4.0 August 2019
5 Implementing Risk Forecasts Download Version 4.0 August 2019
6 Analytical Value–at–Risk for Options and Bonds Download Version 4.0 August 2019
7 Simulation Methods for VaR for Options and Bonds Download Version 4.0 August 2019
8 Backtesting and Stress Testing Download Version 4.0 August 2019
9 Extreme Value Theory Download Version 1.0 August 2015
10 Endogenous Risk Download Version 1.0 August 2015