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
Financial Risk Management with R
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À propos de ce cours
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Compétences que vous acquerrez
Risk AnalysisR ProgrammingRisk ManagementFinancial RiskPortfolio (Finance)
Programme du cours : ce que vous apprendrez dans ce cours
Semaine
14 heures pour terminer
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.
5 vidéos (Total 29 min), 2 lectures, 7 quiz
5 vidéos
Introduction9 min
Retrieving Data from FRED7 min
Calculating Daily Returns5 min
Calculating Longer Returns2 min
A Simple Example3 min
2 lectures
Exercise 1 - Introduction to Microsoft Open R and R Studio20 min
Week 1 Quiz Instructions2 min
7 exercices pour s'entraîner
Exercise 2 - Retrieving data from FRED15 min
Exercise 3 - Calculating Returns on Gold15 min
Exercise 4 - Longer Horizon Returns of Gold15 min
Week 1 Quiz (1 of 4)30 min
Week 1 Quiz (2 of 4)30 min
Week 1 Quiz (3 of 4)30 min
Week 1 Quiz (4 of 4)30 min
Semaine
24 heures pour terminer
Risk Management under Normal Distributions
This module covers how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are normally distributed.
4 vidéos (Total 32 min), 1 lecture, 8 quiz
4 vidéos
Value-at-Risk (VaR)7 min
Expected Shortfall (ES)5 min
Using Simulation to Estimate VaR and ES11 min
1 lecture
Week 2 Quiz Instructions2 min
8 exercices pour s'entraîner
Exercise 5 - Estimating Parameters of the Normal Distribution15 min
Exercise 6 - Estimating VaR of the Normal Distribution15 min
Exercise 7 - Estimating ES of the Normal Distribution15 min
Exercise 8 - Estimating VaR and ES via Simulation15 min
Week 2 Quiz (1 of 4)30 min
Week 2 Quiz (2 of 4)30 min
Week 2 Quiz (3 of 4)30 min
Week 2 Quiz (4 of 4)30 min
Semaine
34 heures pour terminer
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.
4 vidéos (Total 57 min), 1 lecture, 7 quiz
4 vidéos
Non-normal Distributions15 min
Student-t Distribution14 min
Rescaled t Distribution Model14 min
VaR and ES for Multi-day Horizon12 min
1 lecture
Week 3 Quiz Instructions2 min
7 exercices pour s'entraîner
Exercise 9 - Skewness, Kurtosis, Jarque-Bera Test for Normality15 min
Exercise 10 - Estimate Parameters of the Scaled Student-t Distribution15 min
Exercise 11 - Estimate VaR and ES at 10-day Horizon15 min
Week 3 Quiz (1 of 4)30 min
Week 3 Quiz (2 of 4)30 min
Week 3 Quiz (3 of 4)30 min
Week 3 Quiz (4 of 4)30 min
Semaine
44 heures pour terminer
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.
9 vidéos (Total 74 min), 1 lecture, 6 quiz
9 vidéos
Volatility Clustering7 min
GARCH11 min
Estimation: rugarch Package9 min
GARCH(1,1) - t4 min
Diagnostic Tests8 min
Using the ugarchboot Function10 min
Using the ugarchroll Function5 min
Course Summary4 min
1 lecture
Week 4 Quiz Instructions2 min
6 exercices pour s'entraîner
Exercise 12 - Serial Correlation, Volatility Clustering, GARCH15 min
Exercise 13 - VaR and ES for GARCH bootstrap15 min
Week 4 Quiz (1 of 4)30 min
Week 4 Quiz (2 of 4)30 min
Week 4 Quiz (3 of 4)30 min
Week 4 Quiz (4 of 4)30 min
Enseignant
David Hsieh
Bank of America ProfessorFinance
À propos de 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.
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.
In the first course, you will learn how to valuate entrepreneurial ventures—including high-growth startups—using Excel spreadsheet models. You will also learn how to discern between the tradeoffs of different financing strategies: loan investments, venture capital, angel investing, and crowdfunding.
The second course will teach you how to manage a startup’s financing strategy, where you will learn how to build capitalization tables (or “cap tables”) in Excel. Cap tables will help you explore different financing strategies for your startup company and determine which financing decisions are best for your entrepreneurial venture.
The third course transitions to an analysis of blockchain technologies, where you will learn how to identify opportunities to disrupt and innovate business models using blockchain as well as avoid poorly executed applications of blockchain to business.
The fourth course will teach you how to use R programming to calculate the return of a stock portfolio as well as quantify the market risk of that portfolio.
This Specialization is also an excellent opportunity for professionals interested in Fuqua’s master’s programs to get an inside look into Fuqua’s faculty expertise and courses.
Foire Aux Questions
Quand aurai-je accès aux vidéos de cours et aux devoirs ?
Une fois que vous êtes inscrit(e) pour un Certificat, vous pouvez accéder à toutes les vidéos de cours, et à tous les quiz et exercices de programmation (le cas échéant). Vous pouvez soumettre des devoirs à examiner par vos pairs et en examiner vous-même uniquement après le début de votre session. Si vous préférez explorer le cours sans l'acheter, vous ne serez peut-être pas en mesure d'accéder à certains devoirs.
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Lorsque vous vous inscrivez au cours, vous bénéficiez d'un accès à tous les cours de la Spécialisation, et vous obtenez un Certificat lorsque vous avez réussi. Votre Certificat électronique est alors ajouté à votre page Accomplissements. À partir de cette page, vous pouvez imprimer votre Certificat ou l'ajouter à votre profil LinkedIn. Si vous souhaitez seulement lire et visualiser le contenu du cours, vous pouvez accéder gratuitement au cours en tant qu'auditeur libre.
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