2005 Applied Quantitative Analytics in Finance Event

Thank you for making the Applied Quantitative Analytics in Finance event a success.

Presentations from this event are available for download below.

Common Applications of Resampling Techniques in Finance
Bevan Blair, Ingenious Media Plc.

Resampling techniques are becoming more common place in computational finance. This talk discusses two common applications of resampling in finance. The first uses resampling techniques to differentiate between manager skill and luck. The second resamples portfolios to produce alternative asset allocations and to provide rules for rebalancing. In each case S-PLUS, coupled with S+NuOpt are in a unique position to provide quick computational solutions to these problems.

Without Quality Data No Quality Decisions - Treat Your Data Right!
Dr. Frank Block, FinScore SA

Bad data impacts business process and decision quality in a bold way. Today, it is a major obstacle for financial services companies facing the challenge of complying with new regulations such as Basel II and SOX. We will present a management framework consisting of a methodology and analytical techniques that enable an organization to measure and understand the cost impact of bad data and how design a roadmap that leads to continuous enhancement of data quality.

Backtesting with S-PLUS
Dr. David Jessop, UBS

Backtesting an investment strategy is a computationally intensive process. It involves downloading a significant amount of data, calculating risk models back through time and the ability to create optimized portfolios and calculate the performance of these through time. This talk discusses how at UBS we have wrapped all this functionality into a set of S-PLUS functions and classes.

• Connecting to the UBS database
  
• Linking S-PLUS to a selection of optimizers
  
• Constructing the strategy
  
• Using classes to encapsulate the data

Self-Exciting Models for Extremes in Financial Time Series
Dr. Alexander McNeil, Swiss Federal Institute of Technology (ETH) in Zurich

The application of extreme value theory (EVT) methods to time series of financial returns has been a subject of interest in recent years. In this talk we propose a new class of dynamic models for the occurrence of extremes above some high threshold in a financial time series. The model attempts to describe both the temporal occurrence and the magnitude of threshold exceedances and does so by employing a self-exciting structure with a parameterization inspired by standard EVT models. The models have been implemented in S-PLUS and will be applied to financial data and used to estimate Value-at-Risk and other risk measures.

One Factor Credit Portfolio Models with S-PLUS
Dr. Dirk Ocker, Head of Quantitative Research, Swiss Union of Raiffeisen Banks

The so-called one factor credit portfolio model is the underlying of Basel II regulatory capital rules coming into force in 2007. In this talk we briefly present the mathematical background and give a detailed analysis of the computational aspect based on S-PLUS. An overview of the S-PLUS library will be given, in particular:

• Computation of the loss distribution for a credit portfolio and its approximations
• Calculation of different risk measures
• Derivation of the economic capital charges and its risk contributions

Beyond Excel®: Quantitative Data Analysis with Insightful
David Smith, Senior Finance Product Manager, Insightful Corporation

Microsoft® Excel® is commonly used to store and send financial data, but many people run into limitations when using it for large-scale quantitative analysis of financial data. Complex workbooks with multiple tabs and intertwined cell references can easily become difficult to maintain and validate. And of course, once the data grows beyond 65,000 records, Excel can no longer handle it.

In this presentation, you'll learn how Insightful software can help you deal with these limitations in Excel®, by allowing you to analyze large data sets and quickly create reliable, maintainable analytic applications. An introduction to Insightful's data analysis products and description of how to integrate scalable quantitative data analysis in an Excel®-based environment will also be discussed.

Implementing a Practical Framework for Risk Based Capital Measurement and Risk Management
Douglas Niemann, Zurich Financial Services

As part of the on-going effort to maintain a risk based capital measurement framework consistent with international best practice standards, ZFS has decided to replace its existing Excel (VBA) based measurement approach with a new risk-based capital regime, implemented in a more general and modular
manner.

In this talk, we explain how project design, implementation and migration have been made in an orderly fashion to ensure the whole network is developed efficiently and effectively from both technical and management perspectives. The issues will be addressed, including key elements and risks during various stages, as well as important considerations for achieving acceptance of the system. Lastly, we will briefly discuss what type of operational assistance needs to be provided to users in converting to the new system.