Volatility Clustering

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Skills You'll Learn

Risk Analysis, R Programming, Risk Management, Financial Risk, Portfolio (Finance)

Reviews

4.4 (220 ratings)

  • 5 stars
    67.27%
  • 4 stars
    20.90%
  • 3 stars
    5%
  • 2 stars
    1.81%
  • 1 star
    5%

CS

Sep 4, 2021

I learnt a lot of concepts and how to implement those concept in R. Highly recommended if you are into technical risk management for financial portfolio.

KS

Jul 10, 2020

The basic of financial risk management are provided with very clear theoretical background and exercises to learn it practically!

From the lesson

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.

Taught By

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    David Hsieh

    Bank of America Professor

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