Slides for Financial Risk Forecasting

Slides

A comprehensive set of class tested slides is available below


This is the ninth version (2024) 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
0 Introduction to Course Download Version 9.1 September 2024
1 Financial Markets, Prices and Risk Download Version 9.1 September 2024
2 Univariate Volatility Modeling Download Version 9.0 August 2024
3 Multivariate Volatility Models Download Version 9.0 August 2024
4 Risk Measures Download Version 9.0 August 2024
5 Implementing Risk Forecasts Download Version 9.0 August 2024
6 Analytical Value-at-Risk for Options and Bonds Download Version 9.1 September 2024
7 Simulation Methods for VaR for Options and Bonds Download Version 9.0 August 2024
8 Backtesting and Stress Testing Download Version 9.0 August 2024
9 Extreme Value Theory Download Version 1.0 August 2015
10 Endogenous Risk Download Version 9.1 September 2024
11 Market Risk Regulations Download Version 9.0 August 2024
11 Machine Learning and Artificial Intelligence Download Version 9.0 August 2024

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