Market Risk, VaR & Investment Strategies
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Market Risk, VaR & Investment Strategies
This course is part of Credit, Market & Liquidity Risk Specialization
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What you'll learn
Apply VaR, Expected Shortfall, stress testing, and backtesting techniques to measure financial risk.
Analyze hedge funds, mutual funds, illiquid assets, and alternative investments for performance evaluation.
Evaluate portfolio strategies using CAPM, multifactor models, and risk-adjusted performance metrics.
Skills you'll gain
- Risk Management
- Governance Risk Management and Compliance
- Financial Regulation
- Bank Regulations
- Portfolio Risk
- Market Liquidity
- Market Dynamics
- Risk Control
- Risk Modeling
- Risk Management Framework
- Financial Modeling
- Asset Management
- Verification And Validation
- Investment Management
- Model Evaluation
- Due Diligence
- Derivatives
- Finance
- Portfolio Management
- Investments
Details to know
June 2026
28 assignments
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There are 7 modules in this course
Master financial risk management and investment strategies used by top professionals. Learn VaR, portfolio analysis, and hedge fund evaluation in one course.
This course bridges the gap between quantitative risk modeling and real-world investment decision-making, making it ideal for FRM Level II candidates and finance professionals. You will learn how to measure and manage risk using Value at Risk (VaR), Expected Shortfall, and stress testing techniques, and validate models using backtesting and Basel regulatory frameworks. The course also dives into hedge funds, mutual funds, illiquid assets, and alternative investments, helping you understand their structure, risks, and performance drivers. Finally, you will apply portfolio management concepts, including CAPM, multifactor models, and performance evaluation, to make informed investment decisions.
Learn core risk metrics, VaR methodologies, and statistical tools used to quantify financial risk.
What's included
9 videos4 assignments
9 videos•Total 52 minutes
- Introduction to VaR•5 minutes
- Hisotric Method for VaR•7 minutes
- Variance Co-Variance Method•4 minutes
- Monte Carlo Method Method•4 minutes
- Expected Shortfall•5 minutes
- Coherent Risk Measures•9 minutes
- QQ Plot•2 minutes
- Remaining Topic•9 minutes
- Bootstapping VaR•7 minutes
4 assignments•Total 60 minutes
- Understanding Risk Metrics•10 minutes
- Advanced Risk Modeling Techniques•10 minutes
- Statistical Foundations of Risk•10 minutes
- Foundations of Risk Measurement•30 minutes
Explore semi-parametric, non-parametric, and enhanced VaR methods for improved risk estimation.
What's included
9 videos4 assignments
9 videos•Total 60 minutes
- Semi Parametric•5 minutes
- Semi Parametric Continue•3 minutes
- Age Weighted Historic Method•11 minutes
- Other Historic Method•10 minutes
- Advantages and Disadvantages•5 minutes
- Non Parametric Examples•7 minutes
- Back Testing•7 minutes
- Its Exceptions and Importance•6 minutes
- Difficulties in Back Testing•6 minutes
4 assignments•Total 60 minutes
- Semi-Parametric Approaches•10 minutes
- Alternative VaR Techniques•10 minutes
- Model Validation Essentials•10 minutes
- Enhancing VaR Models•30 minutes
Understand model validation, Basel regulations, and stress testing techniques for risk control.
What's included
9 videos4 assignments
9 videos•Total 56 minutes
- Basel Rules For Back Testing•9 minutes
- Type I and Type II Error•7 minutes
- Coverage Tests•12 minutes
- Scenario Analysis•5 minutes
- VaR Mapping•5 minutes
- VaR Mapping Process•4 minutes
- Spot Positions•5 minutes
- Equity Positions•7 minutes
- Zero Coupon Positions•3 minutes
4 assignments•Total 60 minutes
- Regulatory Standards in Risk•10 minutes
- Stress Testing and Scenario Analysis•10 minutes
- Position-Level Risk Mapping•10 minutes
- Backtesting and Regulatory Framework•30 minutes
Apply risk concepts to derivatives, liquidity management, and investment instruments.
What's included
9 videos4 assignments
9 videos•Total 69 minutes
- Futures and Forwards Positions and Stress Testing•10 minutes
- VaR Benchmark•2 minutes
- Two Components of Typically Var Model•3 minutes
- Introduction to Course•10 minutes
- Liquid Assets•8 minutes
- Risk Monitoring and Performance Measurement•11 minutes
- Introduction to Hedge Fund•9 minutes
- Mutual Funds•8 minutes
- Characteristics of Hedge Funds•8 minutes
4 assignments•Total 80 minutes
- Derivatives and Risk Applications•10 minutes
- Introduction to Investment Context•10 minutes
- Investment Vehicles Overview•30 minutes
- Applied Risk & Portfolio Instruments•30 minutes
Analyze hedge funds, illiquid assets, and alternative investment strategies.
What's included
9 videos4 assignments
9 videos•Total 85 minutes
- Evolution of the Hedge Fund Industry•7 minutes
- Hedge Fund Performance•8 minutes
- Risk Sharing Asymmetry•7 minutes
- Managed Future Funds•9 minutes
- Long -Short Equity Funds•5 minutes
- Illiquid Assets Markets•14 minutes
- Imperfection that Encourages Illiquidity•9 minutes
- Illiquid Assets Return Biases•13 minutes
- Illiquid Assets Premiums•13 minutes
4 assignments•Total 80 minutes
- Hedge Fund Industry Insights•10 minutes
- Specialized Investment Strategies•10 minutes
- Illiquidity and Market Imperfections•30 minutes
- Alternative Investments & Market Dynamics•30 minutes
Develop skills in fund evaluation, operational due diligence, and risk governance frameworks.
What's included
9 videos4 assignments
9 videos•Total 80 minutes
- Past Funds Failures•10 minutes
- Due Diligence Elements•9 minutes
- Manager Evaluation•10 minutes
- Risk Management Evaluation•10 minutes
- Operational Due Diligence•7 minutes
- Due Diligence Questionnaire•8 minutes
- Low-Risk Anomaly•11 minutes
- Factor Regression and Portfolio Sensitivity•11 minutes
- Volatility and Beta Anomalies•6 minutes
4 assignments•Total 60 minutes
- Learning from Failures•10 minutes
- Risk Evaluation Frameworks•10 minutes
- Market Anomalies in Practice•10 minutes
- Due Diligence & Risk Governance•30 minutes
Apply CAPM, multifactor models, and performance evaluation techniques in portfolio management.
What's included
9 videos4 assignments
9 videos•Total 65 minutes
- Asset Price and the CAPM•6 minutes
- Implications of Using the CAPM•7 minutes
- Shortcomings of the CAPM•6 minutes
- Multifactor Model•12 minutes
- Transaction Costs•8 minutes
- Portfolio Revisions and Rebalancing•5 minutes
- Diversified and Undiversified•6 minutes
- Risk Planning•6 minutes
- Portfolio Performance Evaluation•8 minutes
4 assignments•Total 60 minutes
- Asset Pricing Foundations•10 minutes
- Advanced Portfolio Models•10 minutes
- Portfolio Strategy & Evaluation•10 minutes
- Portfolio Theory & Performance•30 minutes
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