Quantitative Risk Management in R
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Work with risk-factor return series, study their empirical properties, and make estimates of value-at-risk.
In Quantitative Risk Management (QRM), you will build models to understand the risks of financial portfolios. This is a vital task across the banking, insurance and asset management industries. The first step in the model building process is to collect data on the underlying risk factors that affect portfolio value and analyze their behavior. 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 portfolio.
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