S+ Seminar: S+ for Financial data Analysis

Event
S-PLUS for Financial Data Analysis

Speaker
David Basterfield, Senior Financial Engineer, Insightful Corporation

Insightful has been serving the world's largest financial services firms such as, Zurich Financial Services, Barclays Global Investors, Bank of America and UBS, for 20 years. Our S-PLUS product family, econometric modules and professional services group provide companies in the financial industry the knowledge to act on their quantitative trading strategies, portfolio optimization methods and risk management requirements.

Agenda
08:30
Registration and Continental Breakfast

09:00
Welcome and Introduction

09:15
Portfolio Optimization with NUOPT
Presented by David Basterfield, Senior Financial Engineer, Insightful Corporation

Insightful will show how S-PLUS with NuOPT™, its optimization package, can be used for quantifying, validating and backtesting portfolio construction and rebalancing strategies that optimize risk-adjusted performance.

10:00
Quantitative Financial Modeling
Presented by David Basterfield, Senior Financial Engineer, Insightful Corporation

Insightful will present an overview of S+FinMetrics 3.0, the latest version of their market-leading time-series analysis and financial econometric modeling tool. This presentation will focus on advanced time-series analysis with GARCH and state-space models, as well as newly introduced derivatives pricing applications.

10:45
Coffee Break

11:00
Value at Risk Modeling and Backtesting with S-PLUS
Presented by David Basterfield, Senior Financial Engineer, Insightful Corporation

Value-at-Risk (VaR) has become a de-facto standard for measuring financial market risk. This presentation will give a brief overview of Value-at-Risk and then walk through the programming details of specifying, estimating, and backtesting different VaR models using S-PLUS and S+FinMetrics.

11:30
Risk Aggregation

11:45
Q & A

12:00
Close

Biography: Dr. David Basterfield

Dr. David Basterfield has recently joined Insightful Corporation in Seattle as a Senior Financial Engineer, where he is involved with the on-going development of the S+Finmetrics package in S-Plus, and for developing financial solutions based on these tools. Dr Basterfield has a Ph. D. in Decision Theory, an MS in Computational Finance and an MBA. He was the Director of the Computational Finance program at Oregon Health & Sciences University, where he taught from 1999 – 2003, and Associate Professor of Finance at Hillsdale College, from 2004 to 2007. His research interests include derivatives pricing, risk management and optimization methods. Before coming to the USA in 1998, Dr Basterfield worked as a systems architect for CRI, a consultancy company in Luxembourg, whose main client is the European Commission. In his 18 year association with the Commission, Dr Basterfield was involved in many major projects. In particular, he helped design and develop the foreign trade database, their largest information system.

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