# Financial Econometrics II: Week 7

#### Slides¶

##### New

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¶

##### Solutions

#### Formal Assignment 1¶

**Due Friday 9th Week Hilary**

Computational Assignment IV

Demo Autograder (Jupyter Notebook)

Demo Autograder (Python)

Solutions Template

Data for Assignment

##### Solutions

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

#### Practice Quiz¶

*Oxford MFE Students only (Canvas)*

#### Pre-lecture content¶

##### Reading

*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

##### Presentation

*Oxford MFE Students only (Canvas)*

- Introduction
- Defining Value-at-Risk
- Alternative Value-at-Risk-Definitions
- Volatility-based Models for Value-at-Risk
- Conditional VaR - CaViaR
- Weighted Historical Simulation
- Evaluation of Value-at-Risk Models
- Value-at-Risk Model Evaluation using Bernoullis
- Logit Model-based Value-at-Risk Model Evaluation