Book Image

Learning Quantitative Finance with R

By : Dr. Param Jeet, PRASHANT VATS
Book Image

Learning Quantitative Finance with R

By: Dr. Param Jeet, PRASHANT VATS

Overview of this book

The role of a quantitative analyst is very challenging, yet lucrative, so there is a lot of competition for the role in top-tier organizations and investment banks. This book is your go-to resource if you want to equip yourself with the skills required to tackle any real-world problem in quantitative finance using the popular R programming language. You'll start by getting an understanding of the basics of R and its relevance in the field of quantitative finance. Once you've built this foundation, we'll dive into the practicalities of building financial models in R. This will help you have a fair understanding of the topics as well as their implementation, as the authors have presented some use cases along with examples that are easy to understand and correlate. We'll also look at risk management and optimization techniques for algorithmic trading. Finally, the book will explain some advanced concepts, such as trading using machine learning, optimizations, exotic options, and hedging. By the end of this book, you will have a firm grasp of the techniques required to implement basic quantitative finance models in R.
Table of Contents (16 chapters)
Learning Quantitative Finance with R
Credits
About the Authors
About the Reviewer
www.PacktPub.com
Customer Feedback
Preface

Basel regulation


The main goal for the Basel Committee on Banking Supervision is to improve understanding of key supervisory issues to set a healthy banking supervision worldwide. Its main objective is to develop regulatory frameworks in order to improve banking systems. Currently, Basel III has been developed to meet the deficiencies in financial regulations exposed during the financial crisis of 2007-2008. Basel III is a global voluntary regulatory framework on bank capital adequacy, stress testing, and market liquidity risk. It is assumed to strengthen bank capital requirements by decreasing bank leverage and increasing bank liquidity. The objective of implementing Basel III is to make the banking sector more robust so that it can absorb shocks arising from financial and economic stress, improve risk management and governance, and strengthen banks' transparency and disclosures.

The R community has developed a library, SACCR, keeping in mind the regulations of Basel III. This library has...