In this book more recently advocated techniques for measuring financial market risk and portfolio optimisation are presented. Within the book a plethora of elaborated R code examples are provided that enable the reader to replicate the results featured throughout the book.

Financial Risk Modelling and Portfolio Optimisation with R:

  • Demonstrates techniques in modelling financial risks and applying portfolio optimisation techniques as well as recent advances in the field.
  • Introduces stylised facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalised hyperbolic distribution, volatility modelling and concepts for capturing dependencies.
  • Explores portfolio risk concepts and optimisation with risk constraints.
  • Enables the reader to replicate the results in the book using R code.
  • Is accompanied by a supporting website featuring examples and case studies in R.

Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimisation will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.

Note on provided R code examples

The R code examples included in the second edition require a FRAPO version of at least 0.4-0 and the examples contained in the first edition are based on package version prior to this release.