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.
Este curso faz parte do Programa de cursos integrados Entrepreneurial Finance: Strategy and Innovation
Financial Risk Management with R
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Informações sobre o curso
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Habilidades que você terá
Risk AnalysisR ProgrammingRisk ManagementFinancial RiskPortfolio (Finance)
Programa - O que você aprenderá com este curso
Semana
14 horas para concluir
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.
5 vídeos (Total 29 mín.), 2 leituras, 7 testes
5 videos
Introduction9min
Retrieving Data from FRED7min
Calculating Daily Returns5min
Calculating Longer Returns2min
A Simple Example3min
2 leituras
Exercise 1 - Introduction to Microsoft Open R and R Studio20min
Week 1 Quiz Instructions2min
7 exercícios práticos
Exercise 2 - Retrieving data from FRED15min
Exercise 3 - Calculating Returns on Gold15min
Exercise 4 - Longer Horizon Returns of Gold15min
Week 1 Quiz (1 of 4)30min
Week 1 Quiz (2 of 4)30min
Week 1 Quiz (3 of 4)30min
Week 1 Quiz (4 of 4)30min
Semana
24 horas para concluir
Risk Management under Normal Distributions
This module covers how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are normally distributed.
4 vídeos (Total 32 mín.), 1 leitura, 8 testes
4 videos
Value-at-Risk (VaR)7min
Expected Shortfall (ES)5min
Using Simulation to Estimate VaR and ES11min
1 leituras
Week 2 Quiz Instructions2min
8 exercícios práticos
Exercise 5 - Estimating Parameters of the Normal Distribution15min
Exercise 6 - Estimating VaR of the Normal Distribution15min
Exercise 7 - Estimating ES of the Normal Distribution15min
Exercise 8 - Estimating VaR and ES via Simulation15min
Week 2 Quiz (1 of 4)30min
Week 2 Quiz (2 of 4)30min
Week 2 Quiz (3 of 4)30min
Week 2 Quiz (4 of 4)30min
Semana
34 horas para concluir
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.
4 vídeos (Total 57 mín.), 1 leitura, 7 testes
4 videos
Student-t Distribution14min
Rescaled t Distribution Model14min
VaR and ES for Multi-day Horizon12min
1 leituras
Week 3 Quiz Instructions2min
7 exercícios práticos
Exercise 9 - Skewness, Kurtosis, Jarque-Bera Test for Normality15min
Exercise 10 - Estimate Parameters of the Scaled Student-t Distribution15min
Exercise 11 - Estimate VaR and ES at 10-day Horizon15min
Week 3 Quiz (1 of 4)30min
Week 3 Quiz (2 of 4)30min
Week 3 Quiz (3 of 4)30min
Week 3 Quiz (4 of 4)30min
Semana
44 horas para concluir
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.
9 vídeos (Total 74 mín.), 1 leitura, 6 testes
9 videos
Volatility Clustering7min
GARCH11min
Estimation: rugarch Package9min
GARCH(1,1) - t4min
Diagnostic Tests8min
Using the ugarchboot Function10min
Using the ugarchroll Function5min
Course Summary4min
1 leituras
Week 4 Quiz Instructions2min
6 exercícios práticos
Exercise 12 - Serial Correlation, Volatility Clustering, GARCH15min
Exercise 13 - VaR and ES for GARCH bootstrap15min
Week 4 Quiz (1 of 4)30min
Week 4 Quiz (2 of 4)30min
Week 4 Quiz (3 of 4)30min
Week 4 Quiz (4 of 4)30min
Instrutores
David Hsieh
Bank of America ProfessorFinance
Sobre Universidade Duke
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.
Sobre Programa de cursos integrados Entrepreneurial Finance: Strategy and Innovation
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.
Perguntas Frequentes – FAQ
Quando terei acesso às palestras e às tarefas?
Ao se inscrever para um Certificado, você terá acesso a todos os vídeos, testes e tarefas de programação (se aplicável). Tarefas avaliadas pelos colegas apenas podem ser enviadas e avaliadas após o início da sessão. Caso escolha explorar o curso sem adquiri-lo, talvez você não consiga acessar certas tarefas.
O que recebo ao me inscrever nesta Especialização?
Quando você se inscreve no curso, tem acesso a todos os cursos na Especialização e pode obter um certificado quando concluir o trabalho. Seu Certificado eletrônico será adicionado à sua página de Participações e você poderá imprimi-lo ou adicioná-lo ao seu perfil no LinkedIn. Se quiser apenas ler e assistir o conteúdo do curso, você poderá frequentá-lo como ouvinte sem custo.
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