Ementorhub

What you'll learn

Identify best-practice frameworks for assessing market risk.

Estimate Value at Risk and use in a risk management strategy.

Model market factors such as interest rates, equity, and commodity prices.

Skills you'll gain

Derivatives

Capital Markets

Risk Management

Estimation

Investment Management

Risk Analysis

Financial Market

Statistical Analysis

Equities

Probability & Statistics

Financial Modeling

Statistical Modeling

Asset Management

Market Data

Portfolio Management

Risk Modeling

There are 6 modules in this course

Learners will complete a project covering the estimation and analysis of risk in a globally diversified equity portfolio. The portfolio will include allocations of equity indexes from the U.S., Japan, Hong Kong, and Germany. Data for the two years prior to March 2020 will be used to convert daily returns in each indexes' currency into dollar returns. Value-at-Risk and Expected Shortfall for the portfolio will be calculated using an equal-weighted sample and an exponentially weighted sample. Learners will then be given a new 2-year data set that includes the market data through August of 2020. They will be asked to re-evaluate risk for the portfolio using Value-at-Risk and Expected Shortfall.

Module 01: Financial Instruments

Module 02: Measuring and Analyzing Market Risk

Module 03: Managing and Modeling Market Risk

Course Project

End of Course