Financial Risk Modelling and Portfolio Optimization With R

Klappentext 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 optimization techniques as well as recent advances in the field.* Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized 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.Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study. Zusammenfassung 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 optimization techniques as well as recent advances in the field.* Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized 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.Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study. Inhaltsverzeichnis Preface xiList of abbreviations xiiiPart I MOTIVATION 11 Introduction 32 A brief course in R 62.1 Origin and development 62.2 Getting help 72.3 Working with R 102.4 Classes, methods and functions 122.5 The accompanying package FRAPO 203 Financial market data 263.1 Stylized facts on financial market returns 263.2 Implications for risk models 324 Measuring risks 344.1 Introduction 344.2 Synopsis of risk measures 344.3 Portfolio risk concepts 395 Modern portfolio theory 435.1 Introduction 435.2 Markowitz portfolios 435.3 Empirical mean-variance portfolios 47Part II RISK MODELLING 516 Suitable distributions for returns 536.1 Preliminaries 536.2 The generalized hyperbolic distribution 536.3 The generalized lambda distribution 566.4 Synopsis of R packages for the GHD 626.5 Synopsis of R packages for GLD 676.6 Applications of the GHD to risk modelling 696.7 Applications of the GLD to risk modelling and data analysis 787 Extreme value theory 847.1 Preliminaries 847.2 Extreme value methods and models 857.3 Synopsis of R packages 897.4 Empirical applications of EVT 988 Modelling volatility 1128.1 Preliminaries 1128.2 The class of ARCH models 1128.3 Synopsis of R packages 1168.4 Empirical application of volatility models 1239 Modelling dependence 1279.1 Overview 1279.2 Correlation, dependence and distributions 1279.3 Copulae 1309.4 Synopsis of R packages 1369.5 Empirical applications of copulae 142Part III PORTFOLIO OPTIMIZATION APPROA...

Product details

• Authors: Bernhard Pfaff, Pfaff Bernhard
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 01.12.2012
• EAN: 9780470978702
• ISBN: 978-0-470-97870-2
• No. of pages: 374
• Series: Statistics in Practice; Statistics in Practice
• Subject: Social sciences, law, business > Business