Financial Risk Management in Python, R and Excel
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# Financial Risk Management in Python, R and Excel

Value-at-Risk and factor-based models in Python, R and Excel/VBA
New
4.6 (6 ratings)
124 students enrolled
Created by Loony Corn
Last updated 8/2017
English
Price: \$50
30-Day Money-Back Guarantee
Includes:
• 4 hours on-demand video
• 1 Article
• 1 Supplemental Resource
• Access on mobile and TV
• Certificate of Completion
What Will I Learn?
• Design robust risk models using covariance matrices, Value-at-Risk and factor analysis
• Implement these robust factor-based models in Excel, Python and R
• Create realistic scenarios for stress-testing risk
• Contrast covariance-matrices, scenario-based and factor-based risk models
• Understand the strengths and weaknesses of value-at-risk
View Curriculum
Requirements
• Basic familiarity with finance. No programming experience required, but some familiarity with Excel, Python or R would be helpful
Description

A financial portfolio is almost always modeled as the sum of correlated random variables. Measuring the risk of this portfolio accurately is important for all kinds of applications: the financial crisis of 2007, the failure of the famous hedge fund LTCM and many other mishaps are attributable to poor risk modeling.

In this course, we cover the theory and practice of robust risk modeling:

• Model risk using covariance matrices and historical returns
• Refine this approach using factor models for dimensionality reduction and robustness
• Generate realistic stress-test scenarios using these factor model
• Calculate Value-at-Risk and understand the implications, strengths and weaknesses of this approach
• Implement all of this in Python, Excel and R

Who is the target audience?
• Finance or technical professionals seeking to implement risk models in Excel, Python and R
Compare to Other Financial Management Courses
Curriculum For This Course
28 Lectures
04:04:09
+
Introduction
1 Lecture 01:40
Preview 01:40
+
Introducing Risk management
6 Lectures 01:00:30
Risk Management - Slides and Source Code
00:02

Preview 12:28

Factor Risk Models
10:24

Case Studies
12:50

Mean Variance
11:50

Correlations
12:56
+
Outlining an Approach to Risk Management
6 Lectures 01:03:52
Overall Approach
12:51

Portfolio Mean Variance
09:21

Factor Models
09:15

Factor Variance Calc
10:27

VaR
11:32

VaR - Pros and Cons
10:26
+
RIsk Modeling in Excel/VBA
7 Lectures 01:01:03
Yahoo Finance
10:33

Returns
10:38

VBA Cov
07:36

Factor Regressions
10:11

Factor Model Risk
05:56

Scenario Risk
09:23

Va R Calc
06:46
+
Risk Modeling in R
5 Lectures 31:33
Data Frames
05:24

Covariance Matrices based on Historical Return
08:32

Factor Modeling
08:31

Scenario-based Stress Tests
04:33

VaR
04:33
+
Risk Modeling in Python
3 Lectures 25:31
Covariance Matrices based on Historical Return
09:30

Factor Modeling
07:26

Scenario-based Stress Tests and VaR
08:35