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Financial risk models with R: factor models for asset returns and interest rate models

Registration is now open for the first Scottish Financial Risk Academy workshop, which will be held in Edinburgh on 15 March 2011. The one-day workshop will be led by a world expert in computational finance and econometrics, Professor Eric Zivot. Professor Zivot is an eminent academic, based at the University of Washington in Seattle, and is also a research consultant to BlackRock where he has helped develop a factor-model-based risk management model for funds of hedge funds.

Professor Zivot is one of the world’s foremost authorities on developing financial econometric and risk models using R, a powerful (and free) open-source software environment for statistical analysis that is rapidly gaining in popularity among financial analysts and is the tool of choice for the research community.

The workshop will provide a fast-track introduction to R by focusing on two core areas of financial analysis. In Part I, the focus will be on factor models for asset returns and Professor Zivot will give insights into the development of risk management systems based on factor models. In Part II, he will survey some of the powerful functionality available for interest rate modelling.

Participants will be able to obtain the R code and reproduce and extend examples on their own laptop computers. Registration is now open. Full details, including fees and the workshop registration form, can be found at http://tinyurl.com/6k3vbw