Computational Finance and Risk Management 3 R language and environment basics . caite.info~hiebeler/comp/caite.info For those. Michael Puhle obtained a Ph.D. in Finance from the University of Passau in . Did you know that Packt offers eBook versions of every book published, with PDF By now we are familiar with the basics of the R language. R is based on the S statistical programming language developed by John. Chambers at Bell labs in . Ris a calculator that can perform basic arithmetic operations. 16 Remark: it is possible to catch the output into a file, (pdf, png, jpeg, etc).
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Basic R for Finance (),. Diethelm Würtz, Yohan Chalabi, Longhow Lam, Andrew Ellis. Early Bird Edition. Financial Market Data for R/Rmetrics (). Basic R for Finance. Download. Diethelm Würtz, Tobias Setz, Yohan Chalabi, Longhow Lam, Andrew Ellis Rmetrics eBooks , NEW: Update Rmetrics. PDF | This presentation is designed for experts in Finance but not familiar with R. I know how to search for the packages and have basic programming skills.
When the FSB adopted the Key Attributes in it was agreed to develop further guidance on the implementation of the Key Attributes , taking into account the need for implementation to accommodate different national legal systems and market environments and sector-specific considerations e. Where components of the Annexes have been deemed important for purposes of assessing compliance with the Key Attributes , those components are explicitly reflected in the Key Attributes Assessment Methodology. Resolution should be initiated when a firm is no longer viable or likely to be no longer viable, and has no reasonable prospect of becoming so. Resolution authorities should have the power to transfer selected assets and liabilities of the failed firm to a third party institution or to a newly established bridge institution. The stay should:. This is an introductory book about the rapid model prototyping language R. Those assessments should be conducted in accordance with the guidance set out in I-Annex 3.
Where components of the Annexes have been deemed important for purposes of assessing compliance with the Key Attributes , those components are explicitly reflected in the Key Attributes Assessment Methodology. I-Annex 1: Information sharing for Resolution Purposes KAs 7 and I-Annex 2: I-Annex 3: Resolvability Assessments KA I-Annex 4: Recovery and Resolution Plans KA I-Annex 5: II-Annex 1: II-Annex 2: Resolution of Insurers.
II-Annex 3: Protection of Client Assets in Resolution.
The sector-specific guidance recognises that not all Key Attributes are equally relevant for all sectors and that some require further explanation and interpretation, or some adaptation in order to be effectively implemented in a certain sector.
The sector-specific guidance sets out how the Key Attributes should understood in a sector-specific context. It complements the Key Attributes, and the sector-specific guidance on individual KAs should be considered in conjunction with the KA to which it relates.
There should be no inference that a particular KA or element of a KA does not apply simply because there is no supporting provision in the relevant Annex. The objective of an effective resolution regime is to make feasible the resolution of financial institutions without severe systemic disruption and without exposing taxpayers to loss, while protecting vital economic functions through mechanisms which make it possible for shareholders and unsecured and uninsured creditors to absorb losses in a manner that respects the hierarchy of claims in liquidation.
An effective resolution regime interacting with applicable schemes and arrangements for the protection of depositors, insurance policy holders and retail investors should:. Jurisdictions should have in place a resolution regime that provides the resolution authority with a broad range of powers and options to resolve a firm that is no longer viable and has no reasonable prospect of becoming so.
The resolution regime should include:.
In order to facilitate the coordinated resolution of firms active in multiple countries, jurisdictions should seek convergence of their resolution regimes through the legislative changes needed to incorporate the tools and powers set out in these Key Attributes into their national regimes. It should extend to:. The choice of resolution powers should be guided by the need to maintain continuity of critical FMI functions. Where there are multiple resolution authorities within a jurisdiction their respective mandates, roles and responsibilities should be clearly defined and coordinated.
Where different resolution authorities are in charge of resolving entities of the same group within a single jurisdiction, the resolution regime of that jurisdiction should identify a lead authority that coordinates the resolution of the legal entities within that jurisdiction. As part of its statutory objectives and functions, and where appropriate in coordination with other authorities, the resolution authority should:.
The resolution authority should have the authority to enter into agreements with resolution authorities of other jurisdictions. The resolution authority should have operational independence consistent with its statutory responsibilities, transparent processes, sound governance and adequate resources and be subject to rigorous evaluation and accountability mechanisms to assess the effectiveness of any resolution measures.
It should have the expertise, resources and the operational capacity to implement resolution measures with respect to large and complex firms. The resolution authority and its staff should be protected against liability for actions taken and omissions made while discharging their duties in the exercise of resolution powers in good faith, including actions in support of foreign resolution proceedings. The resolution authority should have unimpeded access to firms where that is material for the purposes of resolution planning and the preparation and implementation of resolution measures.
Resolution should be initiated when a firm is no longer viable or likely to be no longer viable, and has no reasonable prospect of becoming so.
The resolution regime should provide for timely and early entry into resolution before a firm is balance-sheet insolvent and before all equity has been fully wiped out. There should be clear standards or suitable indicators of non-viability to help guide decisions on whether firms meet the conditions for entry into resolution.
Resolution authorities should have at their disposal a broad range of resolution powers, which should include powers to do the following:. Resolution authorities should have the power to transfer selected assets and liabilities of the failed firm to a third party institution or to a newly established bridge institution.
Any transfer of assets or liabilities should not:. Resolution authorities should have the power to establish one or more bridge institutions to take over and continue operating certain critical functions and viable operations of a failed firm, including:. The resolution regime should make it possible to apply bail-in within resolution in conjunction with other resolution powers for example, removal of problem assets, replacement of senior management and adoption of a new business plan to ensure the viability of the firm or newly established entity following the implementation of bail-in.
In applying resolution powers to individual components of a financial group located in its jurisdiction, the resolution authority should take into account the impact on the group as a whole and on financial stability in other affected jurisdictions, and undertake best efforts to avoid taking actions that could reasonably be expected to trigger instability elsewhere in the group or in the financial system.
The legal framework governing set-off rights, contractual netting and collateralisation agreements and the segregation of client assets should be clear, transparent and enforceable during a crisis or resolution of firms, and should not hamper the effective implementation of resolution measures.
Subject to adequate safeguards, entry into resolution and the exercise of any resolution powers should not trigger statutory or contractual set-off rights, or constitute an event that entitles any counterparty of the firm in resolution to exercise contractual acceleration or early termination rights provided the substantive obligations under the contract continue to be performed.
Should contractual acceleration or early termination rights nevertheless be exercisable, the resolution authority should have the power to stay temporarily such rights where they arise by reason only of entry into resolution or in connection with the exercise of any resolution powers.
The stay should:. The stay may be discretionary imposed by the resolution authority or automatic in its operation. In either case, jurisdictions should ensure that there is clarity as to the beginning and the end of the stay. Resolution authorities should apply the temporary stay on early termination rights in accordance with the guidance set out in I-Annex 5 to ensure that it does not compromise the safe and orderly operations of regulated exchanges and FMIs.
In particular, equity should absorb losses first, and no loss should be imposed on senior debt holders until subordinated debt including all regulatory capital instruments has been written-off entirely whether or not that loss-absorption through write-down is accompanied by conversion to equity. Directors and officers of the firm under resolution should be protected in law for example, from law suits by shareholders or creditors for actions taken when complying with decisions of the resolution authority.
The resolution authority should have the capacity to exercise the resolution powers with the necessary speed and flexibility, subject to constitutionally protected legal remedies and due process. In those jurisdictions where a court order is still required to apply resolution measures, resolution authorities should take this into account in the resolution planning process so as to ensure that the time required for court proceedings will not compromise the effective implementation of resolution measures.
The legislation establishing resolution regimes should not provide for judicial actions that could constrain the implementation of, or result in a reversal of, measures taken by resolution authorities acting within their legal powers and in good faith. Instead, it should provide for redress by awarding compensation, if justified. In order to preserve market confidence, jurisdictions should provide for flexibility to allow temporary exemptions from disclosure requirements or a postponement of disclosures required by the firm, for example, under market reporting, takeover provisions and listing rules, where the disclosure by the firm could affect the successful implementation of resolution measures.
Jurisdictions should have statutory or other policies in place so that authorities are not constrained to rely on public ownership or bail-out funds as a means of resolving firms. Jurisdictions should have in place privately-financed deposit insurance or resolution funds, or a funding mechanism with ex post recovery from the industry of the costs of providing temporary financing to facilitate the resolution of the firm. Any provision by the authorities of temporary funding should be subject to strict conditions that minimise the risk of moral hazard, and should include the following:.
As a last resort and for the overarching purpose of maintaining financial stability, some countries may decide to have a power to place the firm under temporary public ownership and control in order to continue critical operations, while seeking to arrange a permanent solution such as a sale or merger with a commercial private sector purchaser.
Where countries do equip themselves with such powers, they should make provision to recover any losses incurred by the state from unsecured creditors or, if necessary, the financial system more widely.
The statutory mandate of a resolution authority should empower and strongly encourage the authority wherever possible to act to achieve a cooperative solution with foreign resolution authorities. Legislation and regulations in jurisdictions should not contain provisions that trigger automatic action in that jurisdiction as a result of official intervention or the initiation of resolution or insolvency proceedings in another jurisdiction, while reserving the right of discretionary national action if necessary to achieve domestic stability in the absence of effective international cooperation and information sharing.
Where a resolution authority takes discretionary national action it should consider the impact on financial stability in other jurisdictions. National laws and regulations should not discriminate against creditors on the basis of their nationality, the location of their claim or the jurisdiction where it is payable. The treatment of creditors and ranking in insolvency should be transparent and properly disclosed to depositors, insurance policy holders and other creditors.
Jurisdictions should provide for transparent and expedited processes to give effect to foreign resolution measures, either by way of a mutual recognition process or by taking measures under the domestic resolution regime that support and are consistent with the resolution measures taken by the foreign home resolution authority.
Such recognition or support measures would enable a foreign home resolution authority to gain rapid control over the firm branch or shares in a subsidiary or its assets that are located in the host jurisdiction, as appropriate, in cases where the firm is being resolved under the law of the foreign home jurisdiction. Recognition or support of foreign measures should be provisional on the equitable treatment of creditors in the foreign resolution proceeding.
The resolution authority should have the capacity in law, subject to adequate confidentiality requirements and protections for sensitive data, to share information, including recovery and resolution plans RRPs , pertaining to the group as a whole or to individual subsidiaries or branches, with relevant foreign authorities for example, members of a CMG , where sharing is necessary for recovery and resolution planning or for implementing a coordinated resolution.
Jurisdictions should provide for confidentiality requirements and statutory safeguards for the protection of information received from foreign authorities. Home and key host authorities of all G-SIFIs should maintain CMGs with the objective of enhancing preparedness for, and facilitating the management and resolution of, a cross-border financial crisis affecting the firm.
CMGs should include the supervisory authorities, central banks, resolution authorities, finance ministries and the public authorities responsible for guarantee schemes of jurisdictions that are home or host to entities of the group that are material to its resolution, and should cooperate closely with authorities in other jurisdictions where firms have a systemic presence.
For all G-SIFIs, at a minimum, institution-specific cooperation agreements, containing the essential elements set out in Annex I, should be in place between the home and relevant host authorities that need to be involved in the planning and crisis resolution stages. These agreements should, inter alia:.
The existence of agreements should be made public. The home authorities may publish the broad structure of the agreements, if agreed by the authorities that are party to the agreement. Those assessments should be conducted in accordance with the guidance set out in I-Annex 3. In undertaking resolvability assessments, resolution authorities should in coordination with other relevant authorities assess, in particular:.
Host resolution authorities that conduct resolvability assessments of subsidiaries located in their jurisdiction should coordinate as far as possible with the home authority that conducts resolvability assessment for the group as a whole. To enable the continued operations of systemically important functions, authorities should evaluate whether to require that these functions be segregated in legally and operationally independent entities that are shielded from group problems. Jurisdictions should put in place an ongoing process for recovery and resolution planning, covering at a minimum domestically incorporated firms that could be systemically significant or critical if they fail.
Jurisdictions should require that robust and credible RRPs, containing the essential elements of Recovery and Resolution Plans set out in I-Annex 4 , are in place for all G-SIFIs and for any other firm that its home authority assesses could have an impact on financial stability in the event of its failure. The RRP should be informed by resolvability assessments see Key Attribute 10 and take account of the specific circumstances of the firm and reflect its nature, complexity, interconnectedness, level of substitutability and size.
It is especially suited to programmers and researcher in finance and insurance. What sets this book apart from all the other introductory R books is the number of examples from computational finance and financial engineering. Part 1 to 4 give an introduction to the R language and environment: Computations, programming, plotting, statistics and inference.
Part 5 to 8 are dedicated to case studies: Utility functions, asset management, option valuation and portfolio design. Tobias Setz holds a master in Computational Science and Engineering from ETH in Zurich with a major specialization in theoretical physics and a minor specialization in financial engineering. In his theses he focused on stability indicators to describe the condition of financial or economic markets or to improve trading strategies. Andrew Ellis read neuroscience and mathematics at the University in Zurich.
Andrew is worked on the Rmetrics documentation project and co-authored this ebook on portfolio optimization with Rmetrics. Yohan is a co-author of the Rmetrics packages.