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 : kkiely@insightful.com
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