Slides
A comprehensive set of class tested slides is available below
This is the eight version (2023) 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 8.0 August 2023 |
| 2 | Univariate Volatility Modeling | Download | Version 8.0 August 2023 |
| 3 | Multivariate Volatility Models | Download | Version 8.0 August 2023 |
| 4 | Risk Measures | Download | Version 8.0 August 2023 |
| 5 | Implementing Risk Forecasts | Download | Version 8.0 August 2023 |
| 6 | Analytical Value-at-Risk for Options and Bonds | Download | Version 8.0 August 2023 |
| 7 | Simulation Methods for VaR for Options and Bonds | Download | Version 8.0 August 2023 |
| 8 | Backtesting and Stress Testing | Download | Version 8.0 August 2023 |
| 9 | Extreme Value Theory | Download | Version 1.0 August 2015 |
| 10 | Endogenous Risk | Download | Version 8.0 August 2023 |
| 11 | Market Risk Regulations | Download | Version 8.0 August 2023 |
Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.© All rights reserved, Jon Danielsson,
Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.© All rights reserved, Jon Danielsson,