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

Credit risk


Credit risk is the risk associated with an investment where the borrower is not able to repay the amount to the lender. This can happen on account of poor financial conditions of the borrower, and it represents a risk for the lender. The risk is for the lender to incur loss due to non-payment and hence disruption of cash flows and increased collection costs. The loss may be complete or partial. There are multiple scenarios in which a lender can suffer loss. Some of the scenarios are given here:

  • A customer not making a payment on a mortgage loan, credit card, line of credit, or other type of loan

  • Business/consumer not paying due trade invoice

  • A business not paying an employee's due earned wages

  • A business/government bond issuer not making payment on a due coupon or principal

  • An insurance company not obliging its policy obligation due

  • A bank not returning funds of depositors

It is a practice of mitigating losses by understanding the adequacy of a bank's capital and loan loss reserves...