Skip to main content

MFE Financial Econometrics II: Week 8

Teaching material from Week 8.

Financial Econometrics II: Week 8

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

Week 8 Assignment Trinity Term 2020 Exam

Formal Assignment 1

FAQ

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)

Week 5 Quiz

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 8 lecture.

Sections 8.6--8.8 Value-at-Risk Notes

Presentation

Oxford MFE Students only (Canvas)

  1. Density Forecasting and Evaluation
  2. Kernel Densities
  3. Multi-step Density Forecasting
  4. The Probability Integral Transform
  5. Density Forecast Evaluation using QQ Plots
  6. Density Forecast Evaluation - Formal Tests
  7. Expected Shortfall
  8. Coherent Risk Measures