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MFE Financial Econometrics II: Week 7

Teaching material from Week 7.

Financial Econometrics II: Week 7



In-person Slides (pdf)
In-person Slides (web)
In-person Slides (Jupyter Notebook)

Same as Previous Week

Value-at-Risk, Expected Shortfall and Density Forecasting
Value-at-Risk, Expected Shortfall and Density Forecasting (Print Optimized)

Data Files

Value-at-Risk Data (pandas HDF) used in the IPython notebook-based slides. Note: This is the same data that was used in the univariate volatility slides.

Executing code in jupyter slides

See the instructions for installing the mfe package to install some function used in the slides.

Weekly Assignment

Week 7 Assignment


Week 7 Assignment Solution

Formal Assignment 1

Due Friday 9th Week Hilary

Computational Assignment IV
Demo Autograder (Jupyter Notebook)
Demo Autograder (Python)
Solutions Template
Data for Assignment


See the Week 5 page for solutions for the Week 3 problem.

Practice Quiz

Oxford MFE Students only (Canvas)

Week 5 Quiz

Pre-lecture content


The readings listed correspond to the pre-recorded content. You should either watch the pre-recorded content or read the notes prior to the Week 7 lecture.

Sections 8.1--8.5 Value-at-Risk Notes


Oxford MFE Students only (Canvas)

  1. Introduction
  2. Defining Value-at-Risk
  3. Alternative Value-at-Risk-Definitions
  4. Volatility-based Models for Value-at-Risk
  5. Conditional VaR - CaViaR
  6. Weighted Historical Simulation
  7. Evaluation of Value-at-Risk Models
  8. Value-at-Risk Model Evaluation using Bernoullis
  9. Logit Model-based Value-at-Risk Model Evaluation