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Market Risk, VaR and Portfolio Management Mastery

EDUCBA via Coursera

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Overview

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Master Market Risk, VaR, and Portfolio Management for real-world finance and FRM Level II success. Learn how to measure, manage, and apply risk in investment decision-making. This course provides a comprehensive and practical understanding of market risk and investment management, aligned with FRM Level II concepts. You will begin by learning how to measure risk using tools like Value at Risk (VaR) and Expected Shortfall, and then move into advanced topics such as term structure modeling, factor investing, and portfolio sensitivity analysis. The course bridges theory and application by guiding you through portfolio construction, risk budgeting, and performance evaluation using real-world frameworks. You will also explore hedge fund strategies and due diligence processes to understand how professional asset managers operate. By the end of this course, you will be able to analyze risk exposures, build optimized portfolios, and evaluate investment performance using industry-standard techniques—equipping you with the skills needed for careers in risk management, asset management, and quantitative finance.

Syllabus

  • Foundations of Market Risk
    • Learn how to measure market risk using VaR, Expected Shortfall, and regulatory frameworks like Basel.
  • Interest Rate & Term Structure Risk
    • Understand yield curves, interest rate dynamics, and factor-based models for rate movements.
  • Factor Investing & Market Efficiency
    • Analyze asset returns using factor models, CAPM, and behavioral finance insights.
  • Portfolio Sensitivity & Factor Exposure
    • Evaluate portfolio exposures, factor sensitivities, and illiquidity premiums in investment decisions.
  • Portfolio Construction & Risk Analytics
    • Apply diversification, correlation, and VaR-based techniques to construct optimized portfolios.
  • Risk Budgeting & Risk Control
    • Allocate and manage risk using structured frameworks and monitoring techniques.
  • Performance Measurement & Evaluation
    • Measure portfolio performance using risk-adjusted metrics and advanced evaluation techniques.
  • Advanced Topics: Hedge Funds & Due Diligence
    • Explore hedge fund strategies, alpha generation, and due diligence processes for manager selection.

Taught by

EDUCBA

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