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Financial Risk Management with R
  • Level Professional
  • Duration 15 hours
  • Course by Duke University
  • Offered by

About

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.

Modules

Introduction

    • 1 Videos
    • 1 Readings
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1 Videos

  • Introduction

1 Readings

  • Exercise 1 - Introduction to R and R Studio

Retrieving Data from FRED

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 2 - Retrieving data from FRED

1 Videos

  • Retrieving Data from FRED

Calculating Daily Returns

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 3 - Calculating Returns on Gold

1 Videos

  • Calculating Daily Returns

Calculating Longer Returns

    • 2 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 4 - Longer Horizon Returns of Gold

2 Videos

  • Calculating Longer Returns
  • A Simple Example

Graded Quiz

    • 1 Readings
    • 4 Assignment
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4 Assignment

  • Quiz 1.1
  • Quiz 1.2
  • Quiz 1.3
  • Quiz 1.4

1 Readings

  • Quiz Instructions

Distribution of Returns

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 5 - Estimating Parameters of the Normal Distribution

1 Videos

  • Distribution of Returns

Value-at-Risk (VaR)

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 6 - Estimating VaR of the Normal Distribution

1 Videos

  • Value-at-Risk (VaR)

Expected Shortfall (ES)

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 7 - Estimating ES of the Normal Distribution

1 Videos

  • Expected Shortfall (ES)

Using Simulation to Estimate VaR and ES

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 8 - Estimating VaR and ES via Simulation

1 Videos

  • Using Simulation to Estimate VaR and ES

Graded Quiz

    • 1 Readings
    • 4 Assignment
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4 Assignment

  • Quiz 2.1
  • Quiz 2.2
  • Quiz 2.3
  • Quiz 2.4

1 Readings

  • Quiz Instructions

Non-normal Distributions

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 9 - Skewness, Kurtosis, Jarque-Bera Test for Normality

1 Videos

  • Non-normal Distributions

Student-t Distribution

    • 2 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 10 - Estimate Parameters of the Scaled Student-t Distribution

2 Videos

  • Student-t Distribution
  • Rescaled t Distribution Model

Estimating VaR and ES for Multi-day Horizon

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 11 - Estimate VaR and ES at 10-day Horizon

1 Videos

  • VaR and ES for Multi-day Horizon

Graded Quiz

    • 1 Readings
    • 4 Assignment
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4 Assignment

  • Quiz 3.1
  • Quiz 3.2
  • Quiz 3.3
  • Quiz 3.4

1 Readings

  • Quiz Instructions

Serial Correlation, Volatility Clustering, and GARCH

    • 6 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 12 - Serial Correlation, Volatility Clustering, GARCH

6 Videos

  • Future vs Historical Distribution
  • Volatility Clustering
  • GARCH
  • Estimation: rugarch Package
  • GARCH(1,1) - t
  • Diagnostic Tests

VaR and ES for GARCH Bootstrap

    • 2 Videos
    • 1 Assignment
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1 Assignment

  • Exercise 13 - VaR and ES for GARCH bootstrap

2 Videos

  • Using the ugarchboot Function
  • Using the ugarchroll Function

Course Summary

    • 1 Videos
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1 Videos

  • Course Summary

Graded Quiz

    • 1 Readings
    • 4 Assignment
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4 Assignment

  • Quiz 4.1
  • Quiz 4.2
  • Quiz 4.3
  • Quiz 4.4

1 Readings

  • Quiz Instructions

Auto Summary

"Financial Risk Management with R" is a professional-level course designed for financial market analysts. It focuses on calculating portfolio returns and market risk using R programming. You'll learn to use Value-at-Risk (VaR) and Expected Shortfall (ES) tools. The course is available on Coursera and requires a beginner-level understanding of R. Duration: 900 minutes. Subscription option: Starter. Ideal for professionals in banks, hedge funds, and financial services.

David Hsieh
Instructor

David Hsieh