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所在平台: Coursera |
课程主页: https://www.coursera.org/learn/market-risk-management
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课程名称: 市场风险管理：框架与策略 课程概述: 本课程旨在为理解市场风险管理策略所使用的框架打下基础。学习者将识别与每种金融工具相关的市场风险，并接触到估算各类投资风险的技术。课程结束时，学习者将能够选择有效的衍生品以管理单一资产和资产组合的风险，制定资产选择策略来管理组合风险，并对单一资产及其组合的风险进行建模。 学习者将完成一个项目，涵盖对全球多元化股票投资组合的风险估算和分析。该投资组合将包括来自美国、日本、香港和德国的股票指数的配置。使用至2020年3月为止两年的数据，将日收益率转换为美元收益率。课程将计算此组合的价值-at-risk（VaR）和预期短缺（ES），采用等权样本和指数加权样本。学习者将获得一个新的两年数据集，其中包含到2020年8月的市场数据，并需要使用VaR和ES重新评估投资组合的风险。 课程大纲: - 课程简介: 介绍市场风险管理策略的框架和相关风险。 - 模块1: 财务工具: 探讨市场风险来源的不同财务工具，包括债券、股票和衍生工具。 - 模块2: 测量与分析市场风险: 从概率和统计的角度测量和分析市场风险。 - 模块3: 管理与建模市场风险: 学习风险管理者如何建模和管理市场风险。 - 课程项目: 开展风险估算和分析的实际项目。 - 课程结束: 对学习成果进行总结。 通过本课程，学习者将掌握市场风险管理的基础知识和实践能力。
Name:Getting Started
Description: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 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.
Name:Module 01: Financial Instruments
Description: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.
Name:Module 02: Measuring and Analyzing Market Risk
Description: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.
Name:Module 03: Managing and Modeling Market Risk
Description: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.
Name:Course Project
Description:
Name:End of Course
Description:
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 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.
