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.