Mastering R for Quantitative Finance

Summary

In this chapter, we demonstrated how R can support the process of asset and liability management in a commercial bank. There is a wide range of tasks from data preparation to reporting, where the R programming language can help or solve repeating problems. However, we only gave a brief introduction about how to solve problems of interest rate and liquidity measurement. We also provided some examples about the statistical estimation of the interest rate sensitivity of non-maturity deposits. You can find practical knowledge about the following:

• Generating cash-flow from bank portfolios and market data
• Measuring and reporting tools for basic interest rate risk management
• Measuring and reporting tools for basic liquidity risk management
• Modeling ...