Risk Modelling with R & Excel

Synopsis

The rapidly increasing computational power of personal computers in combination with the development of dynamic software solutions for computational needs have in the recent few years brought the advantage of fairly sophisticated financial and risk models within the reach of a broader audience. The increasing flow of financial and risk information is covering the skill of quantitative modeling using computers from an advantage into necessity. R open-source software combines well with Excel to offer a good balance of ease-of-use, flexibility and efficiency in financial and risk modeling, and is becoming a standard in the financial community. A reasonable level of efficiency however requires rather good knowledge in the R programming language besides Excel. The intensive course will teach Excel users how to harness additional programming power in the context of building R/Excel financial and risk spreadsheet models. The sessions will emphasize technical issues to give the participants the tools needed for the latter sessions which will focus on familiar spreadsheet financial models which participants have already acquired. A short introduction into each topic is offered during the lectures, generally accompanied with examples. This course will be held in an interactive fashion where participants have the chance to instantly work with each presented example using a building block approach in learning.

Objectives

• Learning how to develop sophisticated spreadsheet models using R programming language
• Gaining hands-on experience on how to build R and Excel spreadsheet models
• Learning how to improve your current spreadsheet models
• Knowing what is spreadsheet models and its limitations
• Increasing your skills and capabilities in building advanced financial and corporate models

Course Contents

USING SPREADSHEET AND FINANCIAL-MODELLING LANGUAGES

• Risk & Uncertainty
• Risk Quantification & Modelling
• Spreadsheets Models And Limitations
• Overview Of How R Can Improve Spreadsheet Models
• R Model Design Principles

INTRODUCTION TO R DEVELOPMENT IN EXCEL

• R Development Features
• The R Editor

GETTING STARTED WITH R

• Models Development
• Understanding Variables And Constants
• Using R Expressions
• Using Built-in Functions

ARRAYS IN R

• The Need For Arrays
• Rules For Working With Arrays

CONTROL LOGIC AND LOOPS

• Using Control Structure
• Conditional Constructions
• Iterations in R

MORE ON VARIABLES AND SUBROUTINES

• Scope Of Variables And Subroutines
• Arguments Passing
• Writing R Functions

INTEGRATING AN R APPLICATION
• Handling Errors in R
• Enhancing Your Models Using Dialog Boxes

Special Features of this Course

• Using Spreadsheet And Financial-Modelling Languages
• Introduction To R Development In Excel
• Getting Started With R
• Control Logic And Loops
• More On Variable And Subroutines
• GUI & Customised Dialog Boxes
• Integrating an R Application