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.
이 강좌는 Entrepreneurial Finance: Strategy and Innovation 전문 분야의 일부입니다.
Financial Risk Management with R
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About this Course
최근 조회 4,298회
귀하가 습득할 기술
Risk AnalysisR ProgrammingRisk ManagementFinancial RiskPortfolio (Finance)
강의 계획 - 이 강좌에서 배울 내용
주
1완료하는 데 4시간 필요
Introduction to R, Data Retrieval, and Return Calculation
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.
5개 동영상 (총 29분), 2 readings, 7 quizzes
5개의 동영상
Retrieving Data from FRED7m
Calculating Daily Returns5m
Calculating Longer Returns2m
A Simple Example3m
2개의 읽기 자료
Exercise 1 - Introduction to Microsoft Open R and R Studio20m
Week 1 Quiz Instructions2m
7개 연습문제
Exercise 2 - Retrieving data from FRED15m
Exercise 3 - Calculating Returns on Gold15m
Exercise 4 - Longer Horizon Returns of Gold15m
Week 1 Quiz (1 of 4)30m
Week 1 Quiz (2 of 4)30m
Week 1 Quiz (3 of 4)30m
Week 1 Quiz (4 of 4)30m
주
2완료하는 데 4시간 필요
Risk Management under Normal Distributions
This module covers how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are normally distributed.
4개 동영상 (총 32분), 1 reading, 8 quizzes
4개의 동영상
Value-at-Risk (VaR)7m
Expected Shortfall (ES)5m
Using Simulation to Estimate VaR and ES11m
1개의 읽기 자료
Week 2 Quiz Instructions2m
8개 연습문제
Exercise 5 - Estimating Parameters of the Normal Distribution15m
Exercise 6 - Estimating VaR of the Normal Distribution15m
Exercise 7 - Estimating ES of the Normal Distribution15m
Exercise 8 - Estimating VaR and ES via Simulation15m
Week 2 Quiz (1 of 4)30m
Week 2 Quiz (2 of 4)30m
Week 2 Quiz (3 of 4)30m
Week 2 Quiz (4 of 4)30m
주
3완료하는 데 4시간 필요
Risk Management under Non-normal Distributions
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.
4개 동영상 (총 57분), 1 reading, 7 quizzes
4개의 동영상
Student-t Distribution14m
Rescaled t Distribution Model14m
VaR and ES for Multi-day Horizon12m
1개의 읽기 자료
Week 3 Quiz Instructions2m
7개 연습문제
Exercise 9 - Skewness, Kurtosis, Jarque-Bera Test for Normality15m
Exercise 10 - Estimate Parameters of the Scaled Student-t Distribution15m
Exercise 11 - Estimate VaR and ES at 10-day Horizon15m
Week 3 Quiz (1 of 4)30m
Week 3 Quiz (2 of 4)30m
Week 3 Quiz (3 of 4)30m
Week 3 Quiz (4 of 4)30m
주
4완료하는 데 4시간 필요
Risk Management under Volatility Clustering
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.
9개 동영상 (총 74분), 1 reading, 6 quizzes
9개의 동영상
Volatility Clustering7m
GARCH11m
Estimation: rugarch Package9m
GARCH(1,1) - t4m
Diagnostic Tests8m
Using the ugarchboot Function10m
Using the ugarchroll Function5m
Course Summary4m
1개의 읽기 자료
Week 4 Quiz Instructions2m
6개 연습문제
Exercise 12 - Serial Correlation, Volatility Clustering, GARCH15m
Exercise 13 - VaR and ES for GARCH bootstrap15m
Week 4 Quiz (1 of 4)30m
Week 4 Quiz (2 of 4)30m
Week 4 Quiz (3 of 4)30m
Week 4 Quiz (4 of 4)30m
강사
David Hsieh
Bank of America ProfessorFinance
듀크대학교 정보
Duke University has about 13,000 undergraduate and graduate students and a world-class faculty helping to expand the frontiers of knowledge. The university has a strong commitment to applying knowledge in service to society, both near its North Carolina campus and around the world.
Entrepreneurial Finance: Strategy and Innovation 전문 분야 정보
From entrepreneurs to executives, this Specialization provides an opportunity for you to learn how to advance business innovation in your company and gain insights from leading faculty in the Fuqua School of Business at Duke University.
In the first course, you will learn how to valuate entrepreneurial ventures—including high-growth startups—using Excel spreadsheet models. You will also learn how to discern between the tradeoffs of different financing strategies: loan investments, venture capital, angel investing, and crowdfunding.
The second course will teach you how to manage a startup’s financing strategy, where you will learn how to build capitalization tables (or “cap tables”) in Excel. Cap tables will help you explore different financing strategies for your startup company and determine which financing decisions are best for your entrepreneurial venture.
The third course transitions to an analysis of blockchain technologies, where you will learn how to identify opportunities to disrupt and innovate business models using blockchain as well as avoid poorly executed applications of blockchain to business.
The fourth course will teach you how to use R programming to calculate the return of a stock portfolio as well as quantify the market risk of that portfolio.
This Specialization is also an excellent opportunity for professionals interested in Fuqua’s master’s programs to get an inside look into Fuqua’s faculty expertise and courses.
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