Market Risk Management: Learn Frameworks & Strategies in This Free Course
This course, Market Risk Management provides the foundation for understanding the frameworks used to develop market risk management strategies. You will identify the market risks associated with each type of financial instrument.
About this Course
You will be introduced to techniques for estimating the risk associated with each class of investments. By the end of the course, Market Risk Management you will be able to select the most effective derivatives for managing risk of a single asset and a portfolio of assets, develop asset selection strategies for managing risk in a portfolio, and model risk associated with a single asset and a portfolio of assets.
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.
What You Will Learn
- Identify best-practice frameworks for assessing market risk.
- Estimate Value at Risk and use in a risk Market Risk Management.
- Model market factors such as interest rates, equity, and commodity prices.
Skills You Will Gain
- Market Risk Management
- Financial Risk Modeling
- Designing a Stress Test
Syllabus
WEEK 1
1 hour to complete
Getting Started
This course provides the foundation for understanding the frameworks used to develop market risk management strategies. You will identify the market risks associated with each type of financial instrument.
You will be introduced to techniques for estimating the risk associated with each class of investments. By the end of the course, you will be able to select the most effective derivatives for managing the risk of a single asset and a portfolio of assets, develop asset selection strategies for managing risk in a portfolio, and model risk associated with a single asset and a portfolio of assets.
1 video (Total 2 min), 4 readings
WEEK 2
2 hours to complete
Module 01: Financial Instruments
In module one we’ll look at the different types of financial instruments that are the source of market risk. We’ll first look at bonds and then at equities and lastly, we’ll explore derivatives.
4 videos (Total 45 min), 1 reading, 4 quizzes
WEEK 3
1 hour to complete
Module 02: Measuring and Analyzing Market Risk
Now that we’ve had a complete look at different financial instruments and derivatives take a look at measuring and analyzing market risk first from the perspective of probabilistic measures and then second from the perspective of statistical measures.
3 videos (Total 28 min), 1 reading, 3 quizzes
WEEK 4
1 hour to complete
Module 03: Managing and Modeling Market Risk
Now you have a good understanding of the risks that are inherent in different types of financial instruments and also of the derivatives that you can use to hedge those risks. You also are familiar with different methods for measuring and analyzing each type of market risk. Now we will look at how risk managers model and manage market risk.
4 videos (Total 25 min), 1 reading, 4 quizzes
WEEK 5
2 hours to complete
Market Risk Management: Course Project
3 videos (Total 71 min), 1 reading, 1 quiz
WEEK 6
28 minutes to complete
Market Risk Management: End of Course
1 video (Total 8 min), 1 reading
