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. Please join us for this half-day S-PLUS for Financial Data Analysis seminar to learn how your organization can utilize S-PLUS to increase your return and minimize risk in your asset management practice.
| 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
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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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