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Market Risk Management: Frameworks & Strategies

Market Risk Management: Frameworks & Strategies

This course is part of Risk Management Specialization

Instructor: Jack Farmer

15,996 already enrolled

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6 modules

Gain insight into a topic and learn the fundamentals.

212 reviews

Beginner level

Recommended experience

8 hours to complete

Flexible schedule

Learn at your own pace

6 modules

Gain insight into a topic and learn the fundamentals.

212 reviews

Beginner level

Recommended experience

8 hours to complete

Flexible schedule

Learn at your own pace

What you'll learn

Identify best-practice frameworks for assessing market risk.
Estimate Value at Risk and use in a risk management strategy.
Model market factors such as interest rates, equity, and commodity prices.

Skills you'll gain

Details to know

Shareable certificate

Add to your LinkedIn profile

Assessments

12 assignments

Taught in English

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Build your subject-matter expertise

This course is part of the Risk Management Specialization

When you enroll in this course, you'll also be enrolled in this Specialization.

Learn new concepts from industry experts
Gain a foundational understanding of a subject or tool
Develop job-relevant skills with hands-on projects
Earn a shareable career certificate

There are 6 modules in this course

This course provides the foundation for understanding the frameworks used to develop market risk management strategies. You will identify the market risks associated with each type of financial instrument. You will be introduced to techniques for estimating the risk associated with each class of investments. By the end of the course, you will be able to select the most effective derivatives for managing risk of a single asset and a portfolio of assets, develop asset selection strategies for managing risk in a portfolio, and model risk associated with a single asset and a portfolio of assets.

Learners will complete a project covering the estimation and analysis of risk in a globally diversified equity portfolio. The portfolio will include allocations of equity indexes from the U.S., Japan, Hong Kong, and Germany. Data for the two years prior to March 2020 will be used to convert daily returns in each indexes' currency into dollar returns. Value-at-Risk and Expected Shortfall for the portfolio will be calculated using an equal-weighted sample and an exponentially weighted sample. Learners will then be given a new 2-year data set that includes the market data through August of 2020. They will be asked to re-evaluate risk for the portfolio using Value-at-Risk and Expected Shortfall.

Module details

What's included

1 video4 readings1 discussion prompt1 plugin

In module one we’ll look at the different types of financial instruments that are the source of market risk. We'll first look at bonds and then at equities and lastly, we’ll explore derivatives.

What's included

4 videos1 reading4 assignments

4 videosTotal 45 minutes

Welcome to Module 01: Financial Instruments2 minutes
Bonds18 minutes
Equities6 minutes
Derivatives and Managing Market Risk19 minutes

1 readingTotal 2 minutes

End of Module Quiz2 minutes

4 assignmentsTotal 75 minutes

Graded Assessment 145 minutes
Check Your Understanding10 minutes
Check Your Understanding10 minutes
Check Your Understanding10 minutes

Now that we've had a complete look at different financial instruments and derivatives take a look at measuring and analyzing market risk first from the perspective of probabilistic measures and then second from the perspective of statistical measures.

What's included

3 videos1 reading3 assignments

Now you have a good understanding of the risks that are inherent in different types of financial instruments and also of the derivatives that you can use to hedge those risks. You also are familiar with different methods for measuring and analyzing each type of market risk. Now we will look at how risk managers model and manage market risk.