Shannon Callan - Highlights of useR conference - LA R meetup - Sep 2014

Transcript

1. LA R Meetup Highlights from the useR! 2014 Conference Shannon Callan, CFA Digital Trend Analytics Giuseppe Bruno Pricing Credit Derivatives in R Monte Carlo Method, Quasi Random Numbers Tobias Setz BCP Stability Analytics and Markov Chain Monte Carlo Baynesian Changepoint Analytics Package: bcp Ting-Kam Leonard Wong A New Framework for Porfolio Management Stochastic Portfolio Theory Package: RelValAnalysis ) Giuseppe Bruno Pricing Credit Derivatives in R Monte Carlo Method, Quasi Random Numbers Tobias Setz BCP Stability Analytics and Markov Chain Monte Carlo Baynesian Changepoint Analytics Package: bcp Ting-Kam Leonard Wong A New Framework for Porfolio Management Stochastic Portfolio Theory Package: RelValAnalysis )
8. Pricing Credit Derivatives in R Assumptions: • Default Rate (.03) • Recovery Rate (.40) • Loan Correlation
18. LA R Meetup Highlights from the useR! 2014 Conference Shannon Callan, CFA Digital Trend Analytics Giuseppe Bruno Pricing Credit Derivatives in R Monte Carlo Method, Quasi Random Numbers Tobias Setz BCP Stability Analytics and Markov Chain Monte Carlo Baynesian Changepoint Analytics Package: bcp Ting-Kam Leonard Wong A New Framework for Porfolio Management Stochastic Portfolio Theory Package: RelValAnalysis Giuseppe Bruno Pricing Credit Derivatives in R Monte Carlo Method, Quasi Random Numbers Tobias Setz BCP Stability Analytics and Markov Chain Monte Carlo Baynesian Changepoint Analytics Package: bcp Ting-Kam Leonard Wong A New Framework for Porfolio Management Stochastic Portfolio Theory Package: RelValAnalysis