A comprehensive set of class tested slides is available below


This is the sixth version (2021) 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.

Chapter number Chapter name Download Latest update
1 Financial Markets, Prices and Risk Download Version 6.0 August 2021
2 Univariate Volatility Modeling Download Version 6.2 October 2021
3 Multivariate Volatility Models Download Version 6.1 October 2021
4 Risk Measures Download Version 6.0 August 2021
5 Implementing Risk Forecasts Download Version 6.0 August 2021
6 Analytical Value–at–Risk for Options and Bonds Download Version 6.0 August 2021
7 Simulation Methods for VaR for Options and Bonds Download Version 6.0 August 2021
8 Backtesting and Stress Testing Download Version 6.0 August 2021
9 Extreme Value Theory Download Version 1.0 August 2015
10 Endogenous Risk Download Version 6.0 August 2021