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,
2024
Chapter 1. Financial Markets, Prices and Risk
Chapter 2. Univariate Volatility Modeling
Chapter 3. Multivariate Volatility Models
Chapter 4. Risk Measures
Chapter 5. Implementing Risk Forecasts
Chapter 6. Analytical Value–at–Risk for Options and Bonds
Chapter 7. Simulation Methods for VaR for Options and Bonds
Chapter 8. Backtesting and Stress Testing
Chapter 9. Extreme Value Theory
Chapter 10. Endogenous risk
Financial Risk Forecasting
Copyright (C) 2011-2020 Jon Danielsson. All Rights Reserved.
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
© All rights reserved, Jon Danielsson,
2024