- 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
- Introduction
1
Readings
- Exercise 1 - Introduction to R and R Studio
Retrieving Data from FRED
1
Assignment
- Exercise 2 - Retrieving data from FRED
1
Videos
- Retrieving Data from FRED
Calculating Daily Returns
1
Assignment
- Exercise 3 - Calculating Returns on Gold
1
Videos
- Calculating Daily Returns
Calculating Longer Returns
1
Assignment
- Exercise 4 - Longer Horizon Returns of Gold
2
Videos
- Calculating Longer Returns
- A Simple Example
Graded Quiz
4
Assignment
- Quiz 1.1
- Quiz 1.2
- Quiz 1.3
- Quiz 1.4
1
Readings
- Quiz Instructions
Distribution of Returns
1
Assignment
- Exercise 5 - Estimating Parameters of the Normal Distribution
1
Videos
- Distribution of Returns
Value-at-Risk (VaR)
1
Assignment
- Exercise 6 - Estimating VaR of the Normal Distribution
1
Videos
- Value-at-Risk (VaR)
Expected Shortfall (ES)
1
Assignment
- Exercise 7 - Estimating ES of the Normal Distribution
1
Videos
- Expected Shortfall (ES)
Using Simulation to Estimate VaR and ES
1
Assignment
- Exercise 8 - Estimating VaR and ES via Simulation
1
Videos
- Using Simulation to Estimate VaR and ES
Graded Quiz
4
Assignment
- Quiz 2.1
- Quiz 2.2
- Quiz 2.3
- Quiz 2.4
1
Readings
- Quiz Instructions
Non-normal Distributions
1
Assignment
- Exercise 9 - Skewness, Kurtosis, Jarque-Bera Test for Normality
1
Videos
- Non-normal Distributions
Student-t Distribution
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
Assignment
- Exercise 11 - Estimate VaR and ES at 10-day Horizon
1
Videos
- VaR and ES for Multi-day Horizon
Graded Quiz
4
Assignment
- Quiz 3.1
- Quiz 3.2
- Quiz 3.3
- Quiz 3.4
1
Readings
- Quiz Instructions
Serial Correlation, Volatility Clustering, and GARCH
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
1
Assignment
- Exercise 13 - VaR and ES for GARCH bootstrap
2
Videos
- Using the ugarchboot Function
- Using the ugarchroll Function
Course Summary
1
Videos
- Course Summary
Graded Quiz
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