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12
Quant · 3 submodules · 7 lessons · 2h 23m

Portfolio Construction & Risk

Marks, PnL, historical VaR/ES, and two-asset mean-variance — practical risk toolkit in Rust.

Submodule 12.1

Marks & PnL

Valuation and daily PnL.

  1. 1

    Market Value

    Sum qty * mark across a book.

    16 min
  2. 2

    Daily PnL

    PnL from mark-to-mark moves.

    20 min
  3. 3

    Gross vs Net Exposure

    Risk views beyond MV.

    16 min

Submodule 12.2

VaR & ES

Historical risk measures.

  1. 1

    Historical VaR

    Empirical quantile of PnL.

    24 min
  2. 2

    Expected Shortfall (CVaR)

    Average loss beyond VaR.

    20 min

Submodule 12.3

Mean-Variance

Two-asset frontier intuition.

  1. 1

    Two-Asset Portfolio Vol

    σ_p(w) formula and sweep.

    22 min
  2. 2

    Module 11 Lab: Risk Dashboard

    Print MV, PnL, VaR, ES for a toy book history.

    25 min