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| Preface | |
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| List of Abbreviations | |
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| Motivation | |
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| Introduction | |
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| References | |
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| A Brief Course in R | |
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| Origin and Development | |
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| Getting Help | |
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| Working with R | |
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| Classes, Methods and Functions | |
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| The Accompanying Package FRAPO | |
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| References | |
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| Financial Market Data | |
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| Stylised Facts of Financial Market Returns | |
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| Stylised Facts for Univariate Series | |
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| Stylised Facts for Multivariate Series | |
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| Implications for Risk Models | |
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| References | |
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| Measuring Risks | |
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| Introduction | |
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| Synopsis of Risk Measures | |
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| Portfolio Risk Concepts | |
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| References | |
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| Modern Portfolio Theory | |
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| Introduction | |
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| Markowitz Portfolios | |
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| Empirical Mean-Variance Portfolios | |
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| References | |
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| Risk Modelling ���� | |
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| Suitable Distributions for Returns | |
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| Preliminaries | |
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| The Generalised Hyperbolic Distribution | |
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| The Generalised Lambda Distribution | |
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| Synopsis of R Packages for GHYP | |
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| The package fBasics | |
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| The package GeneralizedHyperbolic | |
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| The package ghyp | |
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| The package QRM | |
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| The package SkewHyperbolic | |
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| The package VarianceGamma | |
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| Synopsis of R Packages for GLD | |
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| The package Davies | |
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| The package fBasics | |
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| The package GLDEX | |
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| The package gld | |
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| The package lmomco | |
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| Applications of the GHD to Risk Modelling | |
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| Fitting stock returns to the GHD | |
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| Risk assessment with the GHD | |
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| Stylised Facts Revisited | |
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| Applications of the GLD to Risk Modelling and Data Analysis | |
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| VaR for a Single Stock | |
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| Shape Triangle for FTSE 100 Constituents | |
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| References | |
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| Extreme Value Theory | |
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| Preliminaries | |
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| Extreme Value Methods and Models | |
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| The Block Maxima Approach | |
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| The r-largest Order Models | |
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| The Peaks-over-Threshold Approach | |
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| Synopsis of R Packages | |
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| The package evd | |
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| The package evdbayes | |
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| The package evir | |
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| The package fExtremes | |
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| The packages ismev and extRemes | |
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| The package POT | |
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| The package QRM | |
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| The package Renext | |
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| Empirical Applications of EVT | |
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| Section Outline | |
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| Block Maxima Model for Siemens | |
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| r-Block Maxima for BMW | |
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| POT-Method for Boeing | |
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| References | |
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| Modelling Volatility | |
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| Preliminaries | |
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| The class of ARCH-models | |
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| Synopsis of R Packages | |
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| The package bayesGARCH | |
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| The package ccgarch | |
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| The package fGarch | |
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| The package gogarch | |
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| The packages rugarch and rmgarch | |
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| The package tseries | |
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| Empirical Application of Volatility Models | |
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| References | |
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| Modelling Dependence | |
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| Overview | |
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| Correlation, Dependence and Distributions | |
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| Copulae | |
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| Motivation | |
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| Correlations and Dependence Revisited | |
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| Classification and Kinds of Copulae | |
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| Synopsis of R Packages | |
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| The package BLCOP | |
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| The packages copula and nacopula | |
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| The package fCopulae | |
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| The package gumbel | |
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| The package QRM | |
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| Empirical Applications of Copulae | |
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| GARCH- Copula Model | |
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| Mixed Copulae Approaches | |
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| References | |
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| Portfolio Optimisation Approaches | |
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| Robust Portfolio Optimisation | |
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| Overview | |
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| Robust Statistics | |
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| Motivation | |
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| Selected Robust Estimators | |
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| Robust Optimisation | |
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| Motivation | |
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| Uncertainty Sets and Problem Formulation | |
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| Synopsis of R Packages | |
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| The package covRobust | |
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| The package fPortfolio | |
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| The package MASS | |
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| The package robustbase | |
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| The package robust | |
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| The package rrcov | |
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| The package Rsocp | |
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| Empirical Application | |
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| Portfolio Simulation: Robust vs. Classical Statistics | |
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| Portfolio Back Test: Robust vs. Classical Statistics | |
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| Portfolio Back Test: Robust Optimisation | |
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| References | |
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| Diversification Reconsidered | |
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| Introduction | |
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| Most-Diversified Portfolio | |
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| Risk Contribution Constrained Portfolios | |
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| Optimal Tail-Dependent Portfolios | |
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| Synopsis of R Packages | |
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| The packages DEoptim and RcppDE | |
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| The package FRAPO | |
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| The package PortfolioAnalytics | |
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| Empirical Applications | |
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| Comparison of Approaches | |
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| Optimal Tail-Dependent Portfolio against Benchmark | |
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| Limiting Contributions to Expected Shortfall | |
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| References | |
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| Risk-Optimal Portfolios | |
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| Overview | |
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| Mean-VaR Portfolios | |
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| Optimal CVaR Portfolios | |
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| Optimal Draw Down Portfolios | |
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| Synopsis of R Packages | |
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| The package fPortfolio | |
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| The package FRAPO | |
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| R packages for Linear Programming | |
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| The package PerformanceAnalytics | |
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| Empirical Applications | |
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| Minimum-CVaR versus Minimum-Variance Portfolios | |
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| Draw Down Constrained Portfolios | |
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| Backtest Comparison for Stock Portfolio | |
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| References | |
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| Tactical Asset Allocation | |
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| Overview | |
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| Survey of Selected Time Series Models | |
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| Univariate Time Series Models | |
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| Multivariate Time Series Models | |
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| Black-Litterman Approach | |
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| Copula Opinion and Entropy Pooling | |
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| Introduction | |
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| The COP-model | |
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| The EP-model | |
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| Synopsis of R packages | |
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| The package BLCOP | |
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| The package dse | |
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| The package fArma | |
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| The package forecast | |
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| The package MSBVAR | |
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| The package PairTrading | |
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| The packages urca and vars | |
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| Empirical Applications | |
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| Black-Litterman Portfolio Optimisation | |
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| Copula Opinion Pooling | |
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| Protection Strategies | |
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| References | |
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| Package Overview | |
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| Packages in Alphabetical Order | |
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| Packages Ordered by Topic | |
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| Time Series Data | |
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| Date-Time Classes | |
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| B.2 | |
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| Irregular-Spaced TimeSeries | |
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| The package timeSeries | |
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| The package zoo | |
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| The packages tframe and xts | |
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| Back testing and Reporting of Portfolio Strategies | |
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| R Packages for Back testing | |
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| R Facilities for Reporting | |
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| Interfacing Databases | |
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| Technicalities | |
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| Index | |