Quantitative Risk Management in R

Name: Quantitative Risk Management in R
Brand: Careervira
Price: 5353 INR
Availability: InStock
Rating: 5.0 (3 reviews)

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Course Features

Duration

5 hours

Delivery Method

Online

Available on

Limited Access

Accessibility

Mobile, Desktop, Laptop

Language

English

Subtitles

English

Level

Intermediate

Teaching Type

Self Paced

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

Virtual Labs

International Faculty

Post Course Interactions

Hands-On Training,Instructor-Moderated Discussions

Skills You Will Gain

Prerequisites/Requirements

Manipulating Time Series Data with xts and zoo in R

What You Will Learn

You will build models to understand the risks of financial portfolios

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 Content

Expand all sections

Module 1: Exploring market risk-factor data

Module 2: Real world returns are riskier than normal

Module 3: Real world returns are volatile and correlated

Module 4: Estimating portfolio value-at-risk (VaR)

Course Instructors

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 RÃƒÂ¼diger Frey and Paul Embrechts, of the book "Quantitativ...

Course Reviews

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