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
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Financial Risk Management with R
This course is part of Entrepreneurial Finance: Strategy and Innovation Specialization
Instructor: David Hsieh
17,383 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 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.
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
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