Hong Ooi talks about some of the more interesting projects that he has used R for in the last year. These include fitting models for mortgage loss given default, a Monte Carlo application for stress-testing loan portfolios (in combination with Excel and SAS), a framework for calculating through-the-[economic-]cycle probabilities of default, and possibly others. He also talks about some of the challenges involved in getting R accepted in a conservative financial institution workplace.
Hong Ooi graduated from Macquarie University with a BEc in actuarial studies, then worked with NRMA Insurance/IAG in Sydney for many years. Completed a Masters in Applied Stats from Macquarie in 1997, and a PhD in statistics from ANU from 2000-2004. Displayed impeccable timing by switching jobs to St George Bank on the eve of the global financial crisis. Now with ANZ Bank in Melbourne, and adapting to the rigours of life south of the border.
This talk was presented at Melbourne R Users: http://www.meetup.com/MelbURN-Melbourne-Users-of-R-Network/events/23182071/