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Market Risk Management Fundamentals · LearnSpace
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Market Risk Management Fundamentals

Курс от EDUCBA
Уровень не указан≈ 22.7 чАнглийский
О курсеНавыкиПрограммаПреподаватели

О курсе

Master advanced market risk management concepts used in FRM Level 2 and real-world investment management. Learn Value at Risk (VaR), stress testing, factor models, hedge funds, portfolio analytics, and risk budgeting through practical and structured lessons. This course provides comprehensive coverage of quantitative and qualitative risk management techniques essential for finance professionals and FRM candidates. Learners will explore historical simulation, Monte Carlo methods, Expected Shortfall, backtesting frameworks, portfolio construction, factor investing, illiquidity risk, and hedge fund performance evaluation. Designed for aspiring risk analysts, portfolio managers, treasury professionals, and finance students, the course combines theoretical foundations with practical applications in investment risk management. By the end of the course, learners will be able to evaluate portfolio risks, apply advanced risk measurement models, analyze investment performance, and confidently prepare for FRM Level 2 examinations.

Навыки, которые вы освоите

Portfolio ManagementRisk ManagementPortfolio RiskRisk ModelingPerformance MeasurementRisk AnalysisRisk Management FrameworkAnalyticsBudgetingAdvanced AnalyticsInvestmentsPerformance TestingConstructionConstruction ManagementDesignMarket LiquidityStress ManagementFinanceFinancial MarketInvestment Management

Программа курса

8 модулей · 141 учебных материалов

01Foundations of Value at Risk (VaR)19 материалов

Understanding the Basics of VaR

Introduction to VarВидеоHistoric Method for VarВидеоUnderstanding the Basics of VaRЗадание

Core Quantitative Approaches to VaR

Variance Co-Variance MethodВидео

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EDUCBA

Преподаватель курса

Market Risk Management Fundamentals
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Обучение на Coursera

≈ 22.7 ч

8 модулей

Язык: Английский

Часть программы вашего университета
Monte Carlo MethodВидео
Core Quantitative Approaches to VaRЗадание

Beyond Traditional VaR Measures

Expected ShortfallВидеоCoherent Risk MeasuresВидеоBeyond Traditional VaR MeasuresЗадание

Statistical Tools for Risk Analysis

QQ PlotВидеоRemaining TopicВидеоStatistical Tools for Risk AnalysisЗадание

Advanced VaR Estimation Techniques

Bootstrapping VarВидеоSemi ParametricВидеоSemi Parametric ContinueВидеоEvaluating Portfolio Risk Using VaR and Tail Risk ModelsDIALOGUEAdvanced VaR Estimation TechniquesЗаданиеFoundations of Value at Risk (VaR)ЗаданиеEvaluating Portfolio Market Risk Using VaR ModelsDIALOGUE
02Historical Simulation and Backtesting Frameworks16 материалов

Enhancing Historical Simulation Models

Age Weighted Historic MethodВидеоOther Historic MethodВидеоEnhancing Historical Simulation ModelsЗадание

Evaluating VaR Model Performance

Advantages and DisadvantagesВидеоNon Parametric ExamplesВидеоEvaluating VaR Model PerformanceЗадание

Foundations of Backtesting

Back TestingВидеоIts Exceptions and ImportanceВидеоFoundations of BacktestingЗадание

Challenges and Regulatory Perspectives in Backtesting

Difficulties in Back TestingВидеоBasel Rules For Back TestingВидеоChallenges and Regulatory Perspectives in BacktestingЗадание

Statistical Validation of Risk Models

Type I and Type II ErrorВидеоCoverage TestsВидеоStatistical Validation of Risk ModelsЗаданиеGraded - Historical Simulation and Backtesting FrameworksЗадание
03Scenario Analysis and VaR Applications16 материалов

Stress Testing and Scenario Design

Scenario AnalysisВидеоVar MappingВидеоStress Testing and Scenario DesignЗадание

Mapping Risk Across Financial Positions

Var Mapping ProcessВидеоSpot PositionsВидеоMapping Risk Across Financial PositionsЗадание

Risk Mapping for Equity and Fixed Income Instruments

Equity PositionsВидеоZero Coupon PositionsВидеоRisk Mapping for Equity and Fixed Income InstrumentsЗадание

Derivatives Risk and Stress Testing

Futures and Forwards Positions and Stress TestingВидеоVar BenchmarkВидеоDerivatives Risk and Stress TestingЗадание

Components and Structure of VaR Models

Two Components of Typically Var ModelВидеоIntroduction to Factor TheoryВидео Components and Structure of VaR ModelsЗаданиеGraded - Scenario Analysis and VaR ApplicationsЗадание
04Factor Models and Investment Strategies17 материалов

Foundations of Factor-Based Investing

Capital Asset Pricing ModelВидеоShortcomings CAPM and Multi Factor ModelsВидеоFoundations of Factor-Based InvestingЗадание

Pricing Models and Market Efficiency

Stochastic Discount FactorsВидеоEfficient Market TheoryВидеоPricing Models and Market EfficiencyЗадание

Applying Factor Theory in Practice

Factor Theory Practice QuestionsВидеоIntroduction to Value InvestingВидеоApplying Factor Theory in PracticeЗадание

Macroeconomic and Volatility Factors

Macroeconomic Risk FactorsВидеоManaging Volatility RiskВидеоMacroeconomic and Volatility FactorsЗадание

Value and Momentum Investment Strategies

Theories Behind Value PremiumВидеоMomentum Investing StrategyВидеоFactors Practice QuestionВидеоValue and Momentum Investment StrategiesЗаданиеFactor Models and Investment StrategiesЗадание
05Portfolio Factor Exposure and Illiquidity Risk16 материалов

Measuring Alpha and Benchmark Sensitivity

Introduction to Alpha and Tracking ErrorВидеоImpact of Benchmark SelectionВидеоMeasuring Alpha and Benchmark SensitivityЗадание

Portfolio Factor Exposure Analysis

Factor Regression and Portfolio’s SensitivityВидеоMeasurement of Time Varying Factor ExposuresВидеоPortfolio Factor Exposure AnalysisЗадание

Understanding Risk Anomalies and Illiquidity

Potential Explanations for Risk AnomalyВидеоIntroduction to illiquid AssetВидеоUnderstanding Risk Anomalies and IlliquidityЗадание

Market Imperfections and Liquidity Premiums

Relationship Between Market Imperfections and illiquidityВидеоIlliquidity PremiumsВидеоMarket Imperfections and Liquidity PremiumsЗадание

Illiquidity in Practice

Illiquidity premiums ContinuesВидеоPractice QuestionВидеоIlliquidity in PracticeЗаданиеPortfolio Factor Exposure and Illiquidity RiskЗадание
06Portfolio Construction and Risk Measurement16 материалов

Building and Rebalancing Portfolios

Introduction to Portfolio ConstructionВидеоNeutralizationВидеоBuilding and Rebalancing PortfoliosЗадание

Portfolio Adjustments and Return Dispersion

Portfolio Revisions and RebalancingВидеоPortfolio Return DispersionВидеоPortfolio Adjustments and Return DispersionЗадание

Analytical Approaches to Portfolio Risk

Introduction to Portfolio Risk - Analytical MethodВидеоRole of Correlation on Portfolio RiskВидеоAnalytical Approaches to Portfolio RiskЗадание

Advanced Portfolio VaR Applications

Marginal Var and Incremental VarВидеоComponent Var and Managing Portfolio using VarВидеоAdvanced Portfolio VaR ApplicationsЗадание

Risk and Portfolio Management Integration

Differences Risk Management and Portfolio ManagementВидеоVar and Risk Budgeting in Investment Management Practice QSВидеоRisk and Portfolio Management IntegrationЗадание Portfolio Construction and Risk MeasurementЗадание
07Risk Budgeting and Performance Monitoring17 материалов

Foundations of Risk Budgeting

Introduction to Risk BudgetingВидеоTypes of RiskВидеоFoundations of Risk BudgetingЗадание

Risk Classification and Monitoring

Types of Risk ContinuesВидеоMonitoring RiskВидеоRisk Classification and MonitoringЗадание

Implementing Risk Budgeting Processes

Risk Budgeting ProcessВидеоVar and Risk Budgeting in Investment Management Practice QSВидеоImplementing Risk Budgeting ProcessesЗадание

Risk Monitoring and RMU Functions

Introduction to Risk Monitoring and Performance MeasurementВидеоRisk PlanningВидеоObjective and Action of RMUВидеоRisk Monitoring and RMU FunctionsЗадание

Measuring and Evaluating Portfolio Performance

Objectives of Performance MeasurementВидеоRisk Monitoring and Performance Measurement Practice QSВидеоRisk Monitoring and RMU FunctionsЗаданиеRisk Budgeting and Performance MonitoringЗадание
08Portfolio Evaluation, Hedge Funds, and Due Diligence24 материалов

Portfolio Performance Evaluation Techniques

Introduction to Portfolio Performance EvaluationВидеоRisk Adjusted Performance MeasuresВидеоPortfolio Performance Evaluation TechniquesЗадание

Advanced Performance Attribution Methods

Information Ratio and Appraisal RatioВидеоPractice QS on Risk MeasuresВидеоAdvanced Performance Attribution MethodsЗадание

Dynamic Portfolio Evaluation Tools

Dynamic Risk LevelsВидеоTiming AbilityВидеоStyle AnalysisВидеоDynamic Portfolio Evaluation ToolsЗадание

Hedge Fund Strategies and Performance

Portfolio Performance Evaluation Practice QSВидеоIntroduction to Hedge FundsВидеоRelationship Between Risk and Alpha in Hedge FundsВидеоHedge Fund StrategiesВидеоPerformance Trend of Hedge FundsВидеоHedge Funds Practice QSВидео

Due Diligence for Fund Managers and Investment Funds

Introduction to Performing Due Diligence on Specific Managers and FundsВидеоManager EvaluationВидеоOperational Due DiligenceВидеоPerforming Due Diligence on Specific Managers and Funds Practice QSВидеоDue Diligence for Fund Managers and Investment FundsЗаданиеPortfolio Evaluation, Hedge Funds, and Due DiligenceЗадание
Hedge Fund Strategies and PerformanceЗадание
Managing Portfolio Risk Through VaR, Factor Analysis, and Performance EvaluationDIALOGUE