Financial Risk Management with R

Description

This course teaches you how to calculate the return on a portfolio of securities as well as quantify the portfolio's market risk, which is a critical skill for financial market analysts in banks, hedge funds, insurance companies, and other financial services and investment firms. Using the R programming language and Microsoft Open R and RStudio, you will calculate the market risk of stock portfolios using two main tools: Value-at-Risk (VaR) and Expected Shortfall (ES). To complete the course assignments, you must have a basic understanding of R programming.

Syllabus :

1. Introduction to R, Data Retrieval, and Return Calculation

• Introduction9m
• Retrieving Data from FRED
• Calculating Daily Returns
• Calculating Longer Returns
• A Simple Example

 

2. Risk Management under Normal Distributions

• Distribution of Returns
• Value-at-Risk (VaR)
• Expected Shortfall (ES)
• Using Simulation to Estimate VaR and ES

 

3. Risk Management under Non-normal Distributions

• Non-normal Distributions
• Student-t Distribution
• Rescaled t Distribution Model
• VaR and ES for Multi-day Horizon

 

4. Risk Management under Volatility Clustering

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

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