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.
Overview
Syllabus
- Introduction to R, Data Retrieval, and Return Calculation
- 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.
- Risk Management under Normal Distributions
- This module covers how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are normally distributed.
- 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.
- 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.
Taught by
David Hsieh
