Value at Risk Modeling with S-PLUS
Presented: February 8, 2006
Speakers: Guy Yollin, Senior Financial Engineer,
Insightful Corporation
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Value-at-Risk (VaR) has become a de-facto standard for
measuring financial market risk. This webcast will give
a brief overview of Value-at-Risk and then walk through
the programming details of specifying, estimating, and
verifying various types of VaR models using S-PLUS, S+FinMetrics,
and Insightful Miner.
Topics to be covered include:
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Extreme Value Theory Models
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GARCH Models
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Simulation Models
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Multi-Factor Models
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Stochastic Volatility Models
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VaR Model Backtesting
Guy Yollin, Senior Financial
Engineer |
Guy
Yollin joined Insightful in July of 2005 to lead
the software development effort for new financial
solutions along with continued software engineering
for the S+Finmetrics and NuOpt modules. Prior
to joining Insightful, Guy was a futures traders
at a boutique hedge fund in Portland, OR. He also
served as an adjunct instructor for financial
time series analysis and statistical computing
at Oregon Health and Science University where
he received his master’s degree in computational
finance. His undergraduate degree is in electrical
engineering from Drexel University in Philadelphia;
prior to transitioning to the financial engineering
area, Guy was a cofounder of a pattern recognition
software company that was eventually acquired
by a semiconductor equipment manufacturer. |
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