Financial Risk Forecasting

Slides

Updated for 2026

A comprehensive set of class-tested slides is available below.

This is version 11 of the slides, released in August 2026, and there are bound to be typos and other issues. I very much appreciate any comments.

These slides complement the practical code examples and work alongside the seminar assignments to provide a complete learning experience. For corrections and updates, check the errata section.

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.

0 Introduction Course structure, software, financial data sources and working productively with AI Version 11, August 2026 Download ↓ 1 Financial Markets, Prices and Risk Prices, returns and the statistical properties of financial data Version 11, August 2026 Download ↓ 2.a Univariate Volatility Modelling — Part A Univariate volatility models, from moving averages through GARCH Version 11, August 2026 Download ↓ 2.b Univariate Volatility Modelling — Part B Estimating, diagnosing and comparing univariate volatility models Version 11, August 2026 Download ↓ 3 Multivariate Volatility Models Multivariate volatility Version 11, August 2026 Download ↓ 4 Risk Measures Theory of Value-at-Risk and Expected Shortfall Version 11, August 2026 Download ↓ 5 Implementing Risk Forecasts Implementing risk forecasts by historical simulation and parametric methods Version 11, August 2026 Download ↓ 6 Analytical VaR and ES for Options and Bonds Analytical VaR and ES for options and bonds Version 11, August 2026 Download ↓ 7 Simulation Methods for VaR and ES for Options and Bonds Simulation methods for VaR and ES Version 11, August 2026 Download ↓ 8 Backtesting And Stresstesting Backtesting Version 11, August 2026 Download ↓ 9 Extreme Value Theory Extreme value theory Version 11, August 2026 Download ↓ 10 Endogenous Risk Endogenous risk Version 11, August 2026 Download ↓ 11 Risk Regulations Basel accords, the FRTB, Expected Shortfall in regulation, stress testing and model risk Version 11, August 2026 Download ↓ 12 Copulas Nonlinear dependence, exceedance correlations and copulas Version 11, August 2026 Download ↓
Slides are PDF. Version numbers and dates update as new versions are published.
License (CC BY-NC-ND 4.0)

Copyright 2011 – 2026 Jon Danielsson. These slides are licensed under Creative Commons BY-NC-ND 4.0. Non-commercial use is permitted, but not distribution of modified versions. Material credited to a source on the page itself is excepted and remains with its original owner. For permission to adapt the slides for your own course, please get in touch.