Market Risk, VaR and Portfolio Management Mastery
Keep adding new skills with 10,000+ programs for $239 (usually $399). Save now.
Market Risk, VaR and Portfolio Management Mastery
This course is part of Credit, Market & Liquidity Risk Specialization
Included with
Ask Coursera
What you'll learn
Apply VaR, Expected Shortfall, and market risk models to measure portfolio risk effectively.
Analyze portfolio construction, factor investing, and risk budgeting techniques for investment decisions.
Evaluate hedge fund strategies, portfolio performance, and investment risks using industry frameworks.
Skills you'll gain
- Financial Analysis
- Investment Management
- Financial Market
- Investments
- Financial Modeling
- Analysis
- Finance
- Risk Analysis
- Risk Management
- Performance Measurement
- Risk Management Framework
- Due Diligence
- Portfolio Management
- Risk Modeling
- Portfolio Risk
- Asset Management
- Decision Making
- Market Liquidity
- Budgeting
- Performance Analysis
Details to know
June 2026
32 assignments
See how employees at top companies are mastering in-demand skills
Build your subject-matter expertise
- Learn new concepts from industry experts
- Gain a foundational understanding of a subject or tool
- Develop job-relevant skills with hands-on projects
- Earn a shareable career certificate
There are 8 modules in this course
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.
Learn how to measure market risk using VaR, Expected Shortfall, and regulatory frameworks like Basel.
What's included
9 videos4 assignments
9 videos•Total 86 minutes
- Introduction to Market Risk•8 minutes
- Measure Market Risk•10 minutes
- Expected Shortfall•11 minutes
- Parametric Approaches•11 minutes
- Advantages and Disadvantages of Parametric Approaches•8 minutes
- Basel Committee•5 minutes
- Type 1 and Type 2 Error•11 minutes
- VAR Mapping•10 minutes
- VAR Implementation•11 minutes
4 assignments•Total 60 minutes
- Foundations of Market Risk•30 minutes
- Understanding Market Risk Basics•10 minutes
- Parametric Risk Modeling•10 minutes
- Regulatory & VaR Framework•10 minutes
Understand yield curves, interest rate dynamics, and factor-based models for rate movements.
What's included
9 videos4 assignments
9 videos•Total 78 minutes
- Intro to Science of Term Structure•10 minutes
- Probability•7 minutes
- OAS Spread•11 minutes
- Evolution of Short Rates•9 minutes
- The Shape of the Term Structure•8 minutes
- Introduction to Factor Theory•5 minutes
- Capital Asset Pricing Model•12 minutes
- Shortcomings CAPM and Multi Factor Models•9 minutes
- Stochastic Discount Factors•6 minutes
4 assignments•Total 60 minutes
- Interest Rate & Term Structure Risk•30 minutes
- Term Structure Fundamentals•10 minutes
- Dynamics of Interest Rates•10 minutes
- Factor-Based Pricing Foundations•10 minutes
Analyze asset returns using factor models, CAPM, and behavioral finance insights.
What's included
9 videos4 assignments
9 videos•Total 61 minutes
- Efficient Market Theory•5 minutes
- Factor Theory Practice Questions•3 minutes
- Introduction to Value Investing•10 minutes
- Macroeconomic Risk Factors•7 minutes
- Managing Volatility Risk•8 minutes
- Theories Behind Value Premium•10 minutes
- Momentum Investing Strategy•8 minutes
- Factors Practice Question•3 minutes
- Introduction to Alpha and Tracking Error•8 minutes
4 assignments•Total 60 minutes
- Factor Investing & Market Efficiency•30 minutes
- Market Efficiency & Factor Basics•10 minutes
- Macro & Behavioral Factors•10 minutes
- Advanced Factor Strategies•10 minutes
Evaluate portfolio exposures, factor sensitivities, and illiquidity premiums in investment decisions.
What's included
9 videos4 assignments
9 videos•Total 78 minutes
- Impact of Benchmark Selection•10 minutes
- Factor Regression and Portfolio Sensitivity•8 minutes
- Measurement of Time Varying Factor Exposures•11 minutes
- Potential Explanations for Risk Anomaly•8 minutes
- Introduction to illiquid Asset•7 minutes
- Relationship Between Market Imperfections and illiquidity•11 minutes
- Illiquidity Premiums•4 minutes
- Illiquidity premiums Continues•8 minutes
- Practice Question•11 minutes
4 assignments•Total 60 minutes
- Portfolio Sensitivity & Factor Exposure•30 minutes
- Benchmarking & Sensitivity•10 minutes
- Risk Anomalies & Illiquidity•10 minutes
- Illiquidity Premium•10 minutes
Apply diversification, correlation, and VaR-based techniques to construct optimized portfolios.
What's included
9 videos4 assignments
9 videos•Total 76 minutes
- Introduction to Portfolio Construction•7 minutes
- Neutralization•11 minutes
- Portfolio Revisions and Rebalancing•10 minutes
- Portfolio Return Dispersion•8 minutes
- Introduction to Portfolio Risk - Analytical Method•5 minutes
- Role of Correlation on Portfolio Risk•7 minutes
- Marginal VaR and Incremental VaR•9 minutes
- Component VaR and Managing Portfolio using VaR•11 minutes
- Differences Risk Management and Portfolio Management•10 minutes
4 assignments•Total 60 minutes
- Portfolio Construction & Risk Analytics•30 minutes
- Portfolio Construction Basics•10 minutes
- Portfolio Behavior & Risk•10 minutes
- VaR-Based Portfolio Risk•10 minutes
Allocate and manage risk using structured frameworks and monitoring techniques.
What's included
9 videos4 assignments
9 videos•Total 63 minutes
- VaR and Risk Budgeting in Investment Management Practice QS•3 minutes
- Introduction to Risk Budgeting•10 minutes
- Types of Risk•6 minutes
- Types of Risk Continues•10 minutes
- Monitoring Risk•10 minutes
- Risk Budgeting Process•8 minutes
- VaR and Risk Budgeting in Investment Management Practice QS•3 minutes
- Introduction to Risk Monitoring and Performance Measurement•4 minutes
- Risk Planning•10 minutes
4 assignments•Total 60 minutes
- Risk Budgeting & Risk Control•30 minutes
- Risk Budgeting Fundamentals•10 minutes
- Risk Classification & Monitoring•10 minutes
- Applied Risk Budgeting•10 minutes
Measure portfolio performance using risk-adjusted metrics and advanced evaluation techniques.
What's included
9 videos4 assignments
9 videos•Total 72 minutes
- Objective and Action of RMU•9 minutes
- Objectives of Performance Measurement•7 minutes
- Risk Monitoring and Performance Measurement Practice QS•3 minutes
- Introduction to Portfolio Performance Evaluation•10 minutes
- Risk Adjusted Performance Measures•6 minutes
- Information Ratio and Appraisal Ratio•10 minutes
- Practice QS on Risk Measures•10 minutes
- Dynamic Risk Levels•10 minutes
- Timing Ability•7 minutes
4 assignments•Total 60 minutes
- UntiPerformance Measurement & Evaluationtled•30 minutes
- Risk Monitoring Framework•10 minutes
- Performance Metrics•10 minutes
- Advanced Evaluation Techniques•10 minutes
Explore hedge fund strategies, alpha generation, and due diligence processes for manager selection.
What's included
11 videos4 assignments
11 videos•Total 89 minutes
- Style Analysis•7 minutes
- Portfolio Performance Evaluation Practice QS•5 minutes
- Introduction to Hedge Funds•7 minutes
- Relationship Between Risk and Alpha in Hedge Funds•8 minutes
- Hedge Fund Strategies•7 minutes
- Performance Trend of Hedge Funds•12 minutes
- Hedge Funds Practice QS•3 minutes
- Introduction to Performing Due Diligence on Specific Managers and Funds•8 minutes
- Manager Evaluation•11 minutes
- Operational Due Diligence•12 minutes
- Performing Due Diligence on Specific Managers and Funds Practice QS•9 minutes
4 assignments•Total 60 minutes
- Advanced Topics — Hedge Funds & Due Diligence•30 minutes
- Style & Performance Analysis•10 minutes
- Hedge Fund Strategies•10 minutes
- Due Diligence & Manager Selection•10 minutes
Earn a career certificate
Add this credential to your LinkedIn profile, resume, or CV. Share it on social media and in your performance review.
Explore more from Finance
- Status: Free Trial
Course
- Status: Free Trial
Course
- Status: Free Trial
Course
- Status: Free Trial
Course
Why people choose Coursera for their career
Frequently asked questions
To access the course materials, assignments and to earn a Certificate, you will need to purchase the Certificate experience when you enroll in a course. You can try a Free Trial instead, or apply for Financial Aid. The course may offer 'Full Course, No Certificate' instead. This option lets you see all course materials, submit required assessments, and get a final grade. This also means that you will not be able to purchase a Certificate experience.
When you enroll in the course, you get access to all of the courses in the Specialization, and you earn a certificate when you complete the work. Your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile.
Yes. In select learning programs, you can apply for financial aid or a scholarship if you can’t afford the enrollment fee. If fin aid or scholarship is available for your learning program selection, you’ll find a link to apply on the description page.
More questions
Financial aid available,