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Module 04 · Derivatives and risk

Portfolio risk and optimal liquidation

Value at Risk, Expected Shortfall (CVaR), maximum drawdown duration, Sharpe and Sortino ratios, and Almgren-Chriss liquidation trajectories.

4 lessons · 4 graded exercises·3 hours·advanced·Prerequisite: Statistical arbitrage and factor models

Value at Risk and Expected Shortfall

20 min · exercise

Measure portfolio tail risk using parametric and historical Value at Risk and Expected Shortfall (CVaR).

Drawdowns and duration analysis

20 min · exercise

Compute maximum drawdown, drawdown series, and max duration underwater across portfolio equity curves.

Sharpe and Sortino ratios

20 min · exercise

Evaluate investment returns per unit of total risk and downside deviation.

Optimal liquidation and market impact

25 min · exercise

Balance market impact costs against volatility risk using the Almgren-Chriss optimal execution model.