2005 APPLIED QUANTITATIVE ANALYTICS IN FINANCE EVENT o OCTOBER 6, 2005 o LONDON Please join us at the Museum of London for a series of guru-led presentations, networking, and demonstrations by academic and business thought leaders in finance from Basel II Committee, Swiss Union of Raiffeisen Banks, Swiss Federal Institute of Technology (ETH) in Zurich, UBS Warburg, Ingenious Media Plc. and Zurich Financial Services. The series is intended for risk managers, portfolio managers, fund-of-funds managers, and business decision-makers who are interested in getting more perfromant trading and risk models into the enterprise. Agenda Join us for this free event!
9:00 AM Registration & Coffee 9:45 AM Welcome and Opening Address Colin Magee VP Europe, Insightful Corporation 10:00 AM Keynote Address Tom Jones Vice Chair Basel II committee Abstract to follow 10:45 AM 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. 11:30 PM Beyond Excel(r): Quantitative Data Analysis with Insightful David Smith Senior Finance Product Manager, Insightful Corporation Microsoft(r) Excel(r) 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(r), 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(r)-based environment will also be discussed. 12:15 PM Business Lunch 1:15 PM Self-Exciting Models for Extremes in Financial Time Series Prof. Dr. Alexander McNeil Professor of Mathematics, 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. 2:00 PM Backtesting with S-PLUS Dr. David Jessop UBS Warburg 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 2:45 PM Coffee Break 3:15 PM 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. 4:00 PM Douglas Niemann, Zurich Financial Services Abstract to follow 4:45 PM Closing Remarks 5:00 PM Cocktail Reception Register Now! http://www.insightful.com/news_events/UKfinance05/default.asp There are limited spaces for the event, so please register ASAP. If additional places are needed please ensure colleages register as this is an inviation only event. Venue : Museum of London, London Wall, London, EC2Y 5HN Do you have any questions about the event? Contact us by phone or email, we'd be happy to answer any questions you have. Kathy Kiely Sales & Marketing Administrator Insightful Limited Network House, Basing View Basingstoke, Hampshire, RG21 4HG Tel : 01256 339822 Fax : 01256 339839 e mail : [EMAIL PROTECTED] [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
