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
Access provided by Xavier School of Management, XLRI
19,274 already enrolled
Gain insight into a topic and learn the fundamentals.
257 reviews
Intermediate level
Some related experience required
2 weeks to complete
at 10 hours a week
Flexible schedule
Learn at your own pace
Skills you'll gain
- Risk Management
- Financial Data
- Financial Market
- Time Series Analysis and Forecasting
- Risk Analysis
- Financial Trading
- Probability Distribution
- R Programming
- Securities (Finance)
- Portfolio Risk
- Statistical Programming
- Statistical Modeling
- Simulation and Simulation Software
- R (Software)
- Estimation
- Portfolio Management
- Skills section collapsed. Showing 9 of 16 skills.
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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 videos3 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 videos2 readings6 assignments
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Build toward a degree
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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Showing 3 of 257
SK
Reviewed on Jan 22, 2023
The material was concise and reinforced what I had learned.
GP
Reviewed on Apr 5, 2021
good course, I would have gone deeper in the last part, about GARCH modelling
AC
Reviewed on Nov 15, 2024
Exercises and quizzes should be updated to be compatible with later versions of R.
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