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Quantitative Risk Management in R

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$12

$6

49% OFF

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Course Features

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Duration

5 hours

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Delivery Method

Online

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Available on

Limited Access

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Accessibility

Mobile, Desktop, Laptop

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Language

English

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Subtitles

English

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Level

Intermediate

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Teaching Type

Self Paced

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Video Content

5 hours

Course Description

Quantitative Risk Management (QRM), is the process of creating models to evaluate the risks associated financial portfolios. This is a critical task in the asset management and banking industries as well as the insurance industry. You must first gather information about the underlying risk factors that can impact portfolio value. Next, analyze their behavior. This course will show you how to use risk factor return sequences and analyze the empirical properties or "stylized fact" of these data. It will also teach you how calculate value-at-risk.

Course Overview

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Virtual Labs

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International Faculty

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Post Course Interactions

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Hands-On Training,Instructor-Moderated Discussions

Skills You Will Gain

Prerequisites/Requirements

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Manipulating Time Series Data with xts and zoo in R

What You Will Learn

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You will build models to understand the risks of financial portfolios

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In this course, you will learn how to work with risk-factor return series, study the empirical properties or so-called "stylized facts" of these data - including their typical non-normality and volatility, and make estimates of value-at-risk for a portfol

Course Instructors

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Alexander J. McNeil

Professor of Actuarial Science at the University of York.

Alexander McNeil has been Professor of Actuarial Science at the University of York since September 2016. He is joint author, together with Rüdiger Frey and Paul Embrechts, of the book "Quantitativ...

Course Reviews

Average Rating Based on 3 reviews

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Course Cover

$12

$6

49% OFF

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