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Duke University vía Coursera
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Financial Risk Management with R

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  • Introduction to R, Data Retrieval, and Return Calculation
    • This module goes over the versions of R (R Studio and Microsoft Open R), the data source (FRED at the Federal Reserve Bank of St. Louis), and the calculation of returns.
  • Risk Management under Normal Distributions
    • This module covers how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are normally distributed.
  • Risk Management under Non-normal Distributions
    • This module covers how to test for normality of returns, and how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns are not normally distributed.
  • Risk Management under Volatility Clustering
    • This module covers how to test for the presence of volatility clustering, and how to calculate value-at-risk (VaR) and expected shortfall (ES) when returns exhibit volatility clustering.