Introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book.
Financial Risk Modelling and Portfolio Optimization 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 optimization 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.