My Skill Lab
FinanceIntermediate

Risk Management in Finance

Market, credit and operational risk with VaR and stress tests.

Taught by Dipesh Koirala · CFA, Financial Analyst

What you'll learn

  • Classify exposures into market, credit, operational and liquidity risk and trace how they interact
  • Calculate portfolio volatility, correlation, beta and duration-based sensitivities in Python
  • Compute and compare historical, parametric and Monte Carlo Value at Risk and Expected Shortfall
  • Backtest a VaR model and design historical, hypothetical and reverse stress tests
  • Size a futures hedge and choose between futures, options and swaps for a given exposure
  • Estimate expected credit loss and explain Basel III capital, leverage and liquidity requirements

About this course

Every bank, fund and treasury team lives or dies by how well it understands risk. This intermediate course gives analysts, finance graduates and aspiring risk managers a practical grounding in market, credit, operational and liquidity risk. You will measure volatility, correlation and beta, calculate Value at Risk with the historical, parametric and Monte Carlo methods, add Expected Shortfall and backtesting, and design stress tests and scenario analyses. You will then hedge exposures with futures, options and swaps, estimate expected credit loss from PD, LGD and EAD, and see how Basel III capital and liquidity rules, risk appetite statements and the three lines model combine into a sound risk culture. Each lesson includes short Python examples using NumPy, pandas and SciPy. You should be comfortable with basic statistics and have written a little Python. The content overlaps with core FRM Part I topics, but it is independent study material, not affiliated with or endorsed by GARP.

Course content

7 lessons
  1. 1The Risk Landscape: Market, Credit, Operational and LiquidityThe main families of financial risk, how they collide in a crisis, and the cycle every risk team follows.Preview
  2. 2Measuring Market Risk: Volatility, Correlation and BetaTurning price history into volatility, correlation, beta and duration so market exposure has a number.
  3. 3Value at Risk: Historical, Parametric and Monte CarloWhat VaR means, three standard ways to calculate it, and how to choose between them.
  4. 4Beyond VaR: Expected Shortfall, Backtesting and Stress TestsMeasuring tail losses, proving a model works with backtests, and preparing for scenarios history has not shown.
  5. 5Hedging with Derivatives: Futures, Options and SwapsSizing a futures hedge, buying protection with options, and managing rate and credit exposure with swaps.
  6. 6Credit and Operational Risk: PD, LGD, EAD and Loss EventsEstimating expected credit loss, managing counterparties, and measuring operational risk and resilience.
  7. 7Basel Rules, Risk Appetite and Risk CultureBasel III capital and liquidity basics, turning risk appetite into limits, and the three lines model.