Support notebook for Financial Risk Forecasting


Jon Danielsson


March 7, 2023


These notes accompany Financial Risk Forecasting written by Jón Daníelsson.

The objective of these notes not to show the mathematics of risk forecasting, the R programming language nor the various R libraries useful for risk forecasting, since there are better sources for such information.

Instead, the focus is on the various techniques that bring it all together to produce market risk forecasts.

Thanks to Alvaro Aguirre and Jia Rong Fan for assisting in writing the early version of this book.