The workshop covers a wide range of models and methods for forecasting financial tail risk, as well as methods to assess those forecasts. All practical examples use financial asset returns from the ASX and Python; all data and Python code needed is supplied. Each session will have several sub-sessions consisting of presentation of some theory and practical discussion, followed by demonstration and practical application using real data and Python.
The workshop focuses more on the practical aspects of forecasting tail risk, rather than asymptotic theory. All estimation employed is frequentist, not Bayesian.
16-17 Marzo 2023