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Introduction to R for Quantitative Finance

You're reading from  Introduction to R for Quantitative Finance

Product type Book
Published in Nov 2013
Publisher Packt
ISBN-13 9781783280933
Pages 164 pages
Edition 1st Edition
Languages

Table of Contents (17) Chapters

Introduction to R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
1. Time Series Analysis 2. Portfolio Optimization 3. Asset Pricing Models 4. Fixed Income Securities 5. Estimating the Term Structure of Interest Rates 6. Derivatives Pricing 7. Credit Risk Management 8. Extreme Value Theory 9. Financial Networks References Index

Credit risk management


  • F. Black and J. Cox (1976), Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, Journal of Finance 31, 351-367.

  • D. Wuertz and many others (2012), fOptions: Basics of Option Valuation, R package version 2160.82. Available at http://CRAN.R-project.org/package=fOptions.

  • K. Giesecke (2004), Credit Risk Modeling and Valuation: An Introduction. Available at SSRN: http://ssrn.com/abstract=479323 or http://dx.doi.org/10.2139/ssrn.479323.

  • I. Kojadinovic and J. Yan (2010), Modeling Multivariate Distributions with Continuous Margins Using the copula R Package, Journal of Statistical Software 34, No. 9, 1-20. Available at http://www.jstatsoft.org/v34/i09.

  • J. Yan (2007), Enjoy the Joy of Copulas: With a Package Copula, Journal of Statistical Software 21, No. 4, 1-21. Available at http://www.jstatsoft.org/v21/i04.

  • R. Merton (1974), On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance. 29, 449-470.

  • D. Sharma (2011), Innovation in Corporate Credit Scoring: Z-Score Optimization. Available at SSRN: http://ssrn.com/abstract=1963493 or http://dx.doi.org/10.2139/ssrn.1963493.

  • S. M. Iacus (2009), sde: Simulation and Inference for Stochastic Differential Equations, R package version 2.0.10. Available at http://CRAN.R-project.org/package=sde.

  • A. Wittmann (2007), CreditMetrics: Functions for calculating the CreditMetrics risk model, R package version 0.0-2.

  • X. Robin, N. Turck, A. Hainard, N. Tiberti, F. Lisacek, J. C. Sanchez, and M. Müller (2011), pROC: an open-source package for R and S+ to analyze and compare ROC curves, BMC Bioinformatics 12, 77.

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