Volatility Clustering

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

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4.4(216 個評分)

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  • 4 stars
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  • 3 stars
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  • 1 star
    5.09%

SM

2021年9月4日

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

2020年7月10日

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

從本節課中

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.

教學方

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    David Hsieh

    Bank of America Professor

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