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.
Ce cours fait partie de la Spécialisation Entrepreneurial Finance: Strategy and Innovation
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Université Duke
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.
Programme du cours : ce que vous apprendrez dans ce cours
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.
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Meilleurs avis pour FINANCIAL RISK MANAGEMENT WITH R
Challenging, but worthwhile -- would recommend approaching over weeks, and not rushing through. Do not need a strong background in Statistics, but would definitely help understand the terminology.
The concepts are beautifully explained. This course requires basic understanding of Risk management and R coding. Thank you for such a good learning experience. Best of Luck
The basic of financial risk management are provided with very clear theoretical background and exercises to learn it practically!
I loved this course, I think it was very friendly and of course with an excellent level. I highly recommend this course
À propos du Spécialisation Entrepreneurial Finance: Strategy and Innovation
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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