This course teaches you how to calculate the return of a portfolio of securities as well as quantify the market risk of that portfolio, an important skill for financial market analysts in banks, hedge funds, insurance companies, and other financial services and investment firms. Using the R programming language with Microsoft Open R and RStudio, you will use the two main tools for calculating the market risk of stock portfolios: Value-at-Risk (VaR) and Expected Shortfall (ES). You will need a beginner-level understanding of R programming to complete the assignments of this course.
This course is part of the Entrepreneurial Finance: Strategy and Innovation Specialization
Offered By
About this Course
Skills you will gain
- Risk Analysis
- R Programming
- Risk Management
- Financial Risk
- Portfolio (Finance)
Offered by
Duke University
Duke University has about 13,000 undergraduate and graduate students and a world-class faculty helping to expand the frontiers of knowledge. The university has a strong commitment to applying knowledge in service to society, both near its North Carolina campus and around the world.
Syllabus - What you will learn from this course
Introduction to R, Data Retrieval, and Return Calculation
This module goes over the versions of R (R Studio and Microsoft Open R), the data source (FRED at the Federal Reserve Bank of St. Louis), and the calculation of returns.
Risk Management under Normal Distributions
This module covers how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are normally distributed.
Risk Management under Non-normal Distributions
This module covers how to test for normality of returns, and how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are not normally distributed.
Risk Management under Volatility Clustering
This module covers how to test for the presence of volatility clustering, and how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns exhibit volatility clustering.
Reviews
- 5 stars66.66%
- 4 stars21.29%
- 3 stars5.09%
- 2 stars1.85%
- 1 star5.09%
TOP REVIEWS FROM FINANCIAL RISK MANAGEMENT WITH R
Great course, with the right level of detail and topics
You will enjoy it. It is definitely one of the amazing course of all which I took from Coursera.
I learnt a lot of concepts and how to implement those concept in R. Highly recommended if you are into technical risk management for financial portfolio.
good course, I would have gone deeper in the last part, about GARCH modelling
About the Entrepreneurial Finance: Strategy and Innovation Specialization
From entrepreneurs to executives, this Specialization provides an opportunity for you to learn how to advance business innovation in your company and gain insights from leading faculty in the Fuqua School of Business at Duke University.
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