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.
Financial Risk Management with R
Financial Risk Management with R
This course is part of Entrepreneurial Finance: Strategy and Innovation Specialization
Instructor: David Hsieh
17,544 already enrolled
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Gain insight into a topic and learn the fundamentals.
4.4
(247 reviews)
Intermediate level
Some related experience required
Flexible schedule
Approx. 14 hours
Learn at your own pace
Build toward a degree
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Assessments
28 assignments
Taught in English
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This course is part of the Entrepreneurial Finance: Strategy and Innovation Specialization
When you enroll in this course, you'll also be enrolled in this Specialization.
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There are 4 modules in this course
This module goes over the use of R and RStudio, retrieving data from different data sources (FRED at the Federal Reserve Bank of St. Louis and Yahoo!Finance), and the calculation of returns.
What's included
5 videos2 readings7 assignments
This module covers how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are normally distributed.
What's included
4 videos1 reading8 assignments
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.
What's included
4 videos1 reading7 assignments
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.
What's included
9 videos1 reading6 assignments
Instructor
Instructor ratings
4.6 (100 ratings)Offered by
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When you complete this course, you may be able to have your learning recognized for credit if you are admitted and enroll in one of the following online degree programs.¹
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4.4
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Showing 3 of 247
RR
5
Reviewed on Mar 20, 2021
Challenging, but worthwhile -- would recommend approaching over weeks, and not rushing through.
AD
5
Reviewed on May 16, 2020
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
AC
5
Reviewed on Nov 15, 2024
Exercises and quizzes should be updated to be compatible with later versions of R.
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